When Outlook receives a new message, it uses a standard chime. This chime is managed in Windows, rather than Outlook, and is also used by the Mail app, the standard (non-Outlook) mail client that’s bundled with Windows 10. The chime is turned on by default in Outlook, but you can turn it off or change it to play something else. Here’s how.
If you don’t want an auditory alert every time, you receive a message (which can be especially jarring if you’re using headphones) you can tell Outlook not to play a noise at all. Go to File > Options > Mail and scroll down to the “Message arrival” section. The setting you’re looking for is “Play a sound”.