If you have a soundcard installed Win95 will usually try to use it to do
any sounds.  You might have it installed improperly or not have your
speakers hooked up or something.  Take a look at the Sounds folder in
Control Panel, also.  Best I can recall, "Default Sound" is the fill-in for
the old beep.  If you can't play and hear that, that's why you don't hear a
beep.  If you can, I don't know!