High level:
add the log action firewall with a specific prefix
Then use a script to search for new entries in log file where that prefix is present, in case it found a new entry, beep.
There should be plenty of examples present here where all the required bits and pieces are available.
Obviously this will only work if your device is equipped with a beeper (it’s getting rare …).
Personal comment: why would you want to do that ? I’m pretty sure you’ll disable that quite fast ! I know I would.
Personal comment2: why not send a mail instead of beep ? Less intrusive for other people also being present in the same room as that router AND works for you then wherever you are.
Also there, plenty of examples available for the required bits and pieces.
Like here, for a good starting point:
http://forum.mikrotik.com/t/monitor-logs-send-mail-alert-wiki-script/149348/1