As sumdumguy said, that sounds perfectly normal to me.

I can replicate it on a Taxan and a Vivitron CRT.
Won't happen on an LCD as that is different technology.

You should notice the same thing if you use a blank screen saver, and you move the mouse or whatever to cause the screen to wake up again.

Or just try switching resolutions from inside Windows, and see what happens - you should hear the same click

EDIT: should have added that when you log off Windows, it restarts in basic VGA mode, before loading the current settings and switching back to 1024*768, which is why you will hear the click.