It is probably either mounted on the front of the case with wires that lead back to the motherboard. It would connect to the bottom of it, probably towards the middle.
Or sometimes there is the same place on the motherboard just has a tiny little speaker hanging off of it that doesn't connect to the case anywhere.
It should be in the manual that comes with the motherboard where this would be connected and how to disable it. You can download the manual online most likely if you don't still have it.