But he doesn't want to turn it off, just change it to another tune.
I did a search of my Trainz TRS19 SP1 install folder (the program, not the User Data) and found it located at:-
...\resources\builtin\base\content\kuid 661281 58001\menu-theme-0.wav
But, as always, change it at your own risk (i.e. make a backup copy of the kuid folder first).