So I played around with the PC speaker and many sound cards have the option to route the PC speaker signal through the sound card. Most cards have 2-4 mixer inputs (AUX, CD, PC speaker...) and you can also change the mixer levels through a utility.
For this video I just used a very basic Sound Blaster 16 (Vibra 16).
Now I didn't have a "real" PC speaker, just this piezo speaker that most of us know. So the first part shows you what that one sounds. The second part shows you how it sounds routed through the Sound Blaster 16 and hooked up to Logitech speakers.
Because the camera doesn't really capture what it sounds like very well, the final part is a recording through line-in on another machine.
In short, routing the PC speaker signal through a sound card gives you a fuller and richer sound

For the cable I just used one of these CD-Audio cables. I had to "move" 2 pins, but it's not hard and quite obvious.