Check the Options (Alt+O) > Sounds : and toggle between [x] Use internal beep and [x] Use pc speaker. Also select "Query/Chat" from the droplist above, and click the button below to select a sound file or click it again until it says "Event Beep".
I'm guessing you may have no event sound specified, or you have pc speaker selected but have no pc speaker.
- Raccoon
Well. At least I won lunch. Good philosophy, see good in bad, I like!