With your cursor inside the minesweeper window type "XYZZY" then press Shift-Enter and Enter. A white dot should appear in the upper-left corner of the screen. If it turns black, your cursor is resting on a mine.
Note: This trick works best if your Windows background is black. Also note that code will not work in Windows 95 or Windows NT.
Sound Effects
For sound effects, add the line "SOUND=3" to WINMINE.INI