Problem with Audio Alerts going to both internal and external Mac speakers

I have a client running Parallels 6 (the latest build) on a Mac Pro Tower, Mac OS X 10.6.7, 8 GB RAM. Recently, while running Outlook under his Windows XP VM Whenever he receives a message, he gets the audio notification alert from Outlook playing through the external speakers connected to the Mac Pro's line out, and then shortly thereafter it beeps through the Mac Pro's internal speakers (which is annoying him).

I've walked through all the possible configuration options and I can't see how this can happen, but it does. It only seems to be an issue with Outlook. Whenever the speakers are muted, or the audio interface is disconnected through Parallel's settings, the audio notification alert does not play in Outlook, but the beep still sounds through the Mac Pro's internal speakers.

Does anyone have any other ideas why this might happen, or how to correct it?

Regards,

James