The sound scheme is part of the Windows OS, not LabVIEW. Look in "Start >> Control Panel >> Sounds and Audio Devices". Now open the "Sounds" tab. I'm using XP, so it may be slightly different if you are using, say, Windows 2000.
On the bottom, there should be a list of sounds, such as "Asterisk" and "Close program". Select "Default Beep" from this list and press the play arrow on the bottom. The sound you hear should be identical to running the Beep VI in LabVIEW. You can select which sound (or no sound) will be played from this page. -Lars