the spkr header near the front panel connections on the motherboard is the Diagnostic speaker. its the main feedback the diagnostics use. Beep. that means all is good. beep beep beep beep indicates an issue that need to be addressed.
a speaker should either ship with the motherboard, or it is built into the computer chassis.
if there is no speaker at hand, you can make one for temporary uses, I have used my stereo speaker and a couple bits of wire. any speaker, any wire will work temporarily.
a permanent solution looks like this: example only not an endorsement, shop around.
https://www.amazon.com/PC-Internal-Mini-Onboard-Speaker/dp/B002W4M0DW