Start>>Control Panel>>Hardware and Sounds>>Change System Sounds>>Sound
Go down the list and find Windows Logon>>Browse
At this point you will get a list of files in this folder: C:\Windows\Media\
All the files listed there are .wav files. However, there is a chance that
if you navigate yourselves from this folder to a different one by clicking
some items in the left pane you can select a wma or even midi file and it
will take it. Or you can definitely select a wav file in a different folder
with some music if you have that.