Welcome to Android Forums, Yvonne!
You can change your notification sounds in a couple places. The first is setting the default which is in menu>settings>sound>notification ringtones. This is what will play if no other custom tones are set.
If you want a different ringtone for mail and texts and other alerts you do that from within the app. for example for texts, open the messaging app and press menu>settings>select ringtone. The other apps work similarly.