Você pode usar o Mute On Lock:
Mute On Lock is a tiny resident utility that sits in the system tray and monitors your session: when you are locking your Windows workstation, it mutes the sound of your speakers. With the help of this program you can quickly mute or unmute the system sound by double-clicking the tray icon or using an optional hot key.
É gratuito e funciona do Windows XP para o Windows 7 (incluindo edições de 64 bits).