Same with me, you have to install the included MotherboardSpeaker on your Mobo. It's probably a little circleformed box with 4 wires into a socket, which you install on the Mobo. Check your Manual for exact location, probably below your Graphiccard
Your case would have come with a small black speaker if not you motherboard would have. Dont worry fi you dont have it id doesn't make a difference all is does is beep when you post or enter bios.