You can; but the change would apply to any other Windows application that calls that sound.
In the lower right corner of your screen, right-click on the speaker icon --> left click on "playback devices" --> select the "sounds" tab --> under "Program Events:" you should see "Windows" and then "Asterisk" below it. Select "Asterisk" and you should see a drop down box below that says "Windows Error.wav". Change that to "(None)" and then click "Apply".
Now, that particular sound isn't available for Alteryx (or any other application) to use.