THANK YOU Kadri for your fast response !
Just a Beep is a good start, but unfortunately not what I'm looking for.
In many programs you have the option to play a sound file if finished. That's what I actually want.
In 3dsMax 2009 this option is available as you can see in the screenshot attached.
But you never know, maybe the TG Team will implant such a nice feature in the future...
STORMLORD