I don't think that the HDD has to be connected. I was refering to this video from newegg.
Newegg video tutorial (It's at the correct time, just open link and watch)
In the video, the parts connected are the Motherboard, CPU, GPU, Memory and the Power supply. The guy plug the speaker and when he shorts the pins to do the test boot, we hear the single beep and he says that it good because we know the motherboard has done the POST. There is no Drive installed.
That is why I was wondering why mine dont't make any sound when I turn the power ON.
Depending on your BIOS version, you might not get a beep on successful POST. The mobo has video out capabilities with on-screen error codes. It also has CPU phase LEDs that should light up if the CPU is getting power. I believe it only beeps if it's unable to initiate video output.
Edited by kidnova, 16 August 2012 - 04:42 PM.