Your motherboard should have a speaker header on it, usually 4 pins with 2 wires, black and red. If you have the book on your board it should tell you were. Its with the HD and power lights and reset and power switch headers. That speaker is for beeping error codes if you have any memory or video or mb problems. Hope that helps.
Edit: if you dont have the book you can always look it up online at the manufactures website.