Easy to do in Windows XP. Control Panel>Accessibility Options> Keyboard
tick "Use Toggle Keys"
When you press caps lock, number lock or scroll lock, you will hear a sound, and you will hear another when the key is pressed again, assuring you that the key is toggled.
I am a horrible typist, and this trick has saved me many minutes of corrections. I thought I would share it in case someone didn't know you could do this, like my husband didn't.