If you're using Windows XP or below, go to Start > Run, type mmsys.cpl and open the utility. Select the Sounds tab and click Start Windows under Program Events. In the Sounds field select Windows XP Startup, click Apply and then OK.
If your computer runs Windows Vista or above, go to Start, type mmsys.cpl and open the program. Click the Sounds tab, check the Play Windows Startup sound box, click Apply and then OK.