This tutorial provides the steps required for changing the alert sound on Mac OS X Lion. If you want to change the default alert then you can use the sound options available as part of the System Preferences.
Click the Apple icon and select System Preferences from the menu list.
In the System Preferences window, navigate to Sound options under Hardware section.
Now you change the default alert sound by picking your desired sound from the Select an alert sound list available under the Sound Effects tab.