That depends on which decoder you have. Many of them cannot be changed other than adjusting the volume. If you mean you want to select a different prime mover, horn, bell, or other sound, that may be impossible.
What kind of decoder do you have?? Some allow a choice of bells and whistles/horns by setting certain CV's. MRC's sound-only "Sounder" also offers 4 different prime mover options (F-unit, Alco, SD-60 and SD-70 IIRC). Other sound decoders come pre-set with only one horn or whistle sound. A few now offer the option to download additional sounds from a website to change the sounds you have.
With ESU loksound decoders you need the programmer. Then you can change the sound to your own.
Wolfgang
Pueblo & Salt Lake RR
Come to us http://www.westportterminal.de my videos my blog
You can replace the sounds in a Digitrax SFX or Soundbug decoder with a PR2 or PR3 programmer. There is a "Traction" sound project available on the Digitrax site. I've put that into an SFX 0416 decoder for one of my trolleys. The sound is OK, but I really wish these things had more volume available. I crank them up all the way, and I can only hear the engine sounds when the room is quiet and no other trains are running.
These are sound-only decoders, by the way.
It takes an iron man to play with a toy iron horse.