I am not aware of a way to change the levels at which you receive the low battery warning but with a registry edit you can change how and if you are notified. I know this to work with PPC2002 and WM2k3, but not sure about WM2k3SE or WM5.0.
- Open Registry Editor and browse to HKEY_CURRENT_USER\ControlPanel\Notifications\{A877 D663-239C-47a7-9304-0D347F580408}\
- Create a new String value named "Default" (without the quotation marks).
- For Value Data, enter "Low Battery Warning" (without the quotation marks).
- Go to Start > Settings > Personal > Sounds & Notifications > Notifications, select "Low battery warning" in the "Select an event" dropdown list.
- Now you can disable the notification bubble and change the sounds.