OK, here's what I tried:
procedure TForm1.FormCreate(Sender: TObject);
begin
  Application.OnActivate := AppActivate;
  Application.OnDeactivate := AppDeactivate;
end;
procedure TForm1.AppActivate(Sender: TObject);
begin
  with TRegistry.Create do
  try
    RootKey := HKEY_CURRENT_USER;
    OpenKey('AppEvents\Schemes\Apps\Explorer\Navigating\.Current', False);
    if ReadString('') <> '' then
      RememberSoundFile := ReadString('');
    WriteString('', '');
  finally
    Free;
  end;
end;
procedure TForm1.AppDeactivate(Sender: TObject);
begin
  with TRegistry.Create do
  try
    RootKey := HKEY_CURRENT_USER;
    OpenKey('AppEvents\Schemes\Apps\Explorer\Navigating\.Current', False);
    WriteString('', RememberSoundFile);
  finally
    Free;
  end;
end;
It's fugly but it works. :-)
While I basically agree with Davy this solution at least has the advantage that other applications won't be affected.
I may add it as a user option to disable the click, but personally I really want it gone!