This program outputs 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, 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. The Windows Task Manager is available on 2000/XP/2003 by right-clicking on the taskbar (the thing that the Windows Start button is on) and choosing Task Manager.... Under the Processes tab, should be an entry named SoundyMouseV1.0.exe, right-click on it and choose End Process. For Windows 98/ME users, use the Control-Alt-Delete keyboard key sequence to bring up the Task Manager.