Many of us might have listened to that beautiful piece of music XP played, when you first set up it.  The music file is hidden and the path to the file is as follows:

C:\Windows\System32\Oobe\Images\title.wma

If you need to play the file, just copy and paste the above line in the Run Dialog Box.  You can alternatively browse to the folder and play it too.  Since the file is hidden, you will have to check "Show Hidden Files/Folders" options from the Tools->Folder Options.