With the proper drivers, integrated motherboard speakers actually can produce some decent sound, if you have a driver that can take advantage of that. I remember that back in the day on my old 486SX running Windows 3.11, the box didn't have a sound card, so to get sound working, I found a driver that let it use the integrated motherboard speaker as an audio device. The sound quality was very tinny, but it sounded just fine. For your purposes this might be adequate (provided that your motherboard has an on-board speaker). I have not seeked out any audio drivers for later versions of Windows that would do this, however, so you would have to investigate that yourself.
Did a quick search and Microsoft has a KB article that describes a download that fulfills just this feature, albeit it's for Windows 95/98/ME, so it probably won't work on modern, NT-based systems. However, something like this would be what I'd look for, provided you have an integrated PC speaker.