Would be a nice thing - do I have to write a script or can't I just tweak the build script to do some task?
Windows already has support for this, go to the Control Panel and open up Sounds and Audio Devices. Under the Sounds tab there is a section for program events. If you scroll down far enough one of the sections will be Microsoft Visual Studio. Then just pick the sound you want to hear for Build Succeeded and Build Failed. You will need to restart Visual Studio after choosing your sounds.