Obs.: Funciona só no Internet Explorer, no FireFox é necessário o plugin.
<script type="text/javascript">
function beep() {
if(document.form.campo.value=="") {
document.getElementById("beep").innerHTML="<embed hidden='true' src='beep.wav'>";
document.form.campo.focus();
return false;
}
}
</script>
<div id="beep" style="display:none;"></div>
<form name="form" onsubmit="return beep()">
<input type="text" name="campo" value="">
<input type="submit">
</form>