can't change default logon sound through control panel

Official 47434.
I've copied a couple of wave files to \media.
I see them in control panel -> sound and audio devices -> sounds but if I try to change the logon sound choosing another form the drop down list, after applying and accepting, I still see the old one when reopening sounds again.
Trying to choose another and playing it right away gives: err:(dll/win32/winmm/mmio.c:395) No . in szFileName: "(None)"