Windows has always allowed to you to customize different alert sounds from the Control Panel, but it remove your ability to customize a few of them in Windows 8—particularly the sounds for logon, logoff, and shutdown. Here’s how to change them.

Source: Customize the Logon, Logoff, and Shutdown Sounds in Windows 8

Yeah — it’s windows 8 but it’s needed for Windows 10 too.  I couldn’t remember, but knew it was possible.  Why do they even hide it?  It’s not like there’s a proprietary “windows start” sound… unless you want to go all retro ’95 with the Rolling Stones, though you should just use the “…you’d make a dead man cum.” part of the song.

Oh look, here it is!
(note: it didn’t exist so I made it — you’re welcome)