The sound that you are talking about is a zombie. They made me kind of scared at the start but then I got used to it! Monsters (Zombies, sceletons, creepers, slimes, spiders and many more) harm you in different ways so if you are in hardcore or survival mode you can die. If you are in survival mode you may want to change the diffuculty to peaceful for a while! Monsters do give you things you need during the game though! I always keep my game on peaceful so that I do not need to deal with annoying monsters! If you are in survival mode or creative mode then you can change the settings to easy, peacful, hard or normal. But if you are in hardcore then you can not change those settings! To acturally change those settings then you go on options then look for diffuculty! Then you just simply click on the part that says either easy, peaceful, hard or normal to change it to the next option!
I also have a few questions: do you play on creative mode, survivalmode or hardcore? Also, did you only just start playing minecraft because most people know what that noise is (I am not teasing you!)!?
If you have any more questions Newbie, just ask and I am sure someone else shall/will answer your' question!