When ever I enter the menu (pressing ESC), i get an annoying, high-pichted sound.
apparently my GeForce 8800 GTS is producing that sound, and this is only happening while i'm in the menu. Ingame, everything is normal (no strange sounds, performance is normal).
Is there a way to fix this?

well, thats my plan for today to either limit the FPS to >40 or something or underclock my GPU as korell suggested. but i doubt that limiting the framerate will make any difference, because v-sync limits the framerate to the max. refershrate of your monitor, so in my case that is ~60 FPS. but i'll try this anyway.

I nearly DIED after reading that... I keep my fan around 35-50% but it still sounds like a damn Harrier taking off!!!!!

It's almost always related to capacitors on the board and it's a hardware fault not a software one, per se. It's worth remembering that these cards are not intended to put out thousands of frames per second and doing so is entirely pointless, so use your V-synch :¬)
It might not fix it but in many cases it will at least mitigate it and V-synch really is the correct default, the fad for disabling it came when gamers were trying to push every last bit of performance out at the cost of fidelity, especially on competitive FPS games where higher framerates could give you an edge in some cases.