Hey Beepster,
I have gone back and forth with disable/enable on-board sound. I currently run with it disabled, so that my audio interface handles all audio in Windows, period. Please note that for me I made this change a long long time ago, in a galaxy far away.
At the moment, I only have one set of speakers that are worth plugging in, unless I want to break out the gigging gear PA speakers - which I believe is a bit of overkill for just wanting to play some Carpenters song while sequencing up some drone bass track in Sonar. So for me, I just run things separately - I do not fire up WMP if I have things to do in Sonar.
On the other hand, getting some cheap desktop speakers for $20 would allow me to actually benefit from having the ability to run all kinds of different audio programs. (I have a program called the Amazing Slow Downer, which is a fabulous program for slowing songs down without changing pitch, for learning complex or fast technical parts of tunes I want to cover - I could decode a clip in that program and go sequence up the parts immediately in Sonar by adding the desktop speakers - DOH - another trip to Radio Shack or Best Buy tonight).
I DID learn to silence the Windows bodily function noises (startup, shutdown, sun's coming up, I hit too many keys, I didn't hit enough keys, etc.). I treated a rather large audience to an EPIC volume level of the Windows XP startup sounds once on a gig. That cured me.
Bob Bone