I assume you are talking about windows system sounds? My mac doesn't have a "critical stop" noise. ;-)
You'll need to find the proper filesystem path to those sound files. I assume they are wav files so something like this should work:
new JavaSoundAudioClip(new FileInputStream(new File("/tmp/go.wav"))).play();
The file may have a path such as:
C:\WINDOWS\MEDIA\Microsoft Office 2000\EXPLODE.WAV
NOTE: This will return immediately although the sound has been "queued" to the audio device. You can call stop()
if you need to stop it.
If you need to do something more special take a look at this Java forum. Here's some documentation which breaks down how to use the audio system more directly.