Here's a solution for Outlook Express.
When you create a message, click on the View menu and select Source Edit. You now have 3 tabs at the bottom of your message screen - edit, source and preview.
If you select the source tab, you will see your message with html tags, and there should be one named "bgsound or background sound" with a filename after it.
It might look something like this -
<bgsound src = "c:\stationery\filename.wav" LOOP=Infinite>
Delete that tag and the sound file won't be sent with the message.