Hello Maroh,
If the computer is on Sleep mode, it should not play any sounds at all. You must be referring to your machine turning off the screen only.
In sleep mode, the computer enters a low-power state. Power is used to keep the computer's state in memory, but other functions are shut down.
Change the Power Option settings of your computer by going to Control Panel > Hardware and Sounds > Power Options > Edit Plan Settings and change the settings under the Put the computer to sleep drop down menu.
Feel free to post back if you need further assistance.