A system beep, as you hear, is down to the onboard speaker. Video sound is down to speakers, sound cards and drivers.
I suggest you check your speakers are turned on and powered up, your speaker wires are correctly plugged into your soundcard, your soundcard is correctly installed and your drivers are up to date.
Once all those are correct, check your operating system control panel for sound settings. You may need to raise the volume or unmute.
Darren, November 2007