Assuming it's not the normal footstep sound, I'd make the guess it's a sound card issue. Driver, setting, soundcard software "feature" related, or maybe a sound encoder conflict perhaps. Maybe the footstep sounds aren't being rendered properly for some reason so you get a click instead of a thuddy footstep?
Anyway, if you want any chance of diagnosis, you need to post your PC info, like the dxdiag txt. file. A video with the sound wouldn't hurt either.