It seems you have to use the API. This
works for me:
public class MyBeep
{
[System.Runtime.InteropServices.DllImport("User32.Dll"

]
private static extern int MessageBeep(Sounds uType);
public static void Beep()
{
MessageBeep(Sounds.MB_OK);
}
public static void Beep(Sounds s)
{
MessageBeep(s);
}
public enum Sounds : uint
{
MB_OK = 0,
MB_ICONHAND = 0x00000010,
MB_ICONQUESTION = 0x00000020,
MB_ICONEXCLAMATION = 0x00000030,
MB_ICONASTERISK = 0x00000040
}
}