A melhor resposta que posso dar é a Microsoft fornece:
Unfortunately, there isn’t any setting where you can set a sound notification for the change in keyboard layout unless otherwise there is a software that can help you do so.
In Windows 7, there are certain default sounds which play for the default actions. You can set sounds for some of them but not for the one you are looking for, that is when the keyboard layout changes.
Esse post indica a existência de software que pode fazer o que você quer, uma pesquisa revelada R-WIN 32 .
R-WIN 32 is a set of Multilingual support utilities for users working with two or more input languages at the same time - English, German, Russian, and other languages.
Includes utilities and fonts:
Keyboard Switch
- Switches current language, supports convenient hot keys, small floating window with flag image, custom images and sounds assigned to language.