AFAIK & FWIW, I have the up-to-date version of Mail.app (2.1.3) and the version you mention doesn't show up in Software Update so I'm not sure if it's a typo or not?
(v 3.3) ...
Ah, now I see it ... it's Leo only ... and my iMac's Tiger powered
Have you checked Mail.app Prefs to see what is showing there in the
"General" section?
In Mail.app, the keyboard shortcut to showing the Preferences window is
Command + , ... actually, for most apps this shortcut is good, AFAIK.
Were you using one of the default OS
"new mail" sounds or had you added one of your own to the group
(like I have, as shown in the image below)?

The default group of System Alert sounds are located here:
MacintoshHD ~> System ~> Library ~> Sounds
The default location for any user added sounds
(use iTunes to convert any added sounds to the necessary .aif format) is:
YourUserAccount ~> Library ~> Sounds
Finally, check:
Finder ~> System Preferences ~> Sound ~> Sound Effects Tab
- Look to see what is selected in the "Play alerts and sound effects through:" pull-down menu.
- Check where the slider is set at "Alert volume".
- Check where the slider is set at "Output Volume"
- Make sure the 'Mute' box is unchecked.