This program may output sound to the system's PC-Speaker. The PC-Speaker on most older systems is a small speaker inside of the computer. On many newer systems, there is no actual speaker in the computer. With these systems, or sometimes just on newer versions of Windows, the sound comes through the normal speakers.
Some systems don't have the PC-Speaker connected (or are missing one), or perhaps even have it disabled in the BIOS (if such an option is available).
Use the Windows Task Manager to end the process or restart the computer [See below for screenshots on Windows 8. The process appears similar on older versions of Windows]: The Windows Task Manager is available on 2000/XP/2003/Vista/7/8 by right-clicking on the taskbar (the thing that the Windows Start button is on or that the list of open programs is on) and choosing Task Manager. Under the Processes tab, should be an entry named SoundyMouseV1.0.exe (or Soundy Mouse v1.0 Executable (32 bit)). If so, right-click on it and choose End Process (or End Task). For Windows 98/ME users, use the Control-Alt-Delete keyboard key sequence to bring up the Task Manager.