I'm inclined to agree TechITGuy - only sound-wave format supported internally by Windows is WAV, others would assume programs/extensions were installed to play them.
Your choices are pretty limited.
Either use a 3rd party converter to convert your sounds to WAV's
Look for a 3rd party utility that can hook the windows events to play your sounds
Suppress the login sounds and have a login script that ran a program to play sound in another format.