From the Preferences select "Sounds". The adjust the sounds use this procedure:
You should be hearing the default system beep. However, it may be turned off by default on your system.
On Windows use this guide in reverse to enable the system beep.
On OS X, select Apple | System Preferences | Sounds. Note that unchecking the "User interface sounds" doesn't disable all sound. However sliding the "Alert Volume" option all the way to the left (minimum), together with unchecking the other options will disable the beep.
Other things to try are verifying that you're not directing sound output to a different set of speakers that may not be connected.
Here are some related articles: