From SuperUtils Software:
Mute on Lock is a tiny resident utility that sits in the system tray and monitors your session: when you are locking your Windows workstation, it mutes the sound of your speakers. Do not want to bother your colleagues by sounds of instant messenger, reminders or leaving music when you are out? Use Mute on Lock and forget about this problem. Moreover, with the help of this program you can quickly mute or unmute the system sound by double-clicking the tray icon or using an optional hot key.