Well , this is something simple which can be done in 1 line of code if you are using PhoneGap for Windows Phone .
If you are using Windows Phone SDK and developing App in Silverlight or XNA , you might end up using the SoundEffect class to load the sound from the stram and play it for a beep sound .
Read more about Windows Phone and PhoneGap – Article #10 – Beep sound @windowsphonerocks.com