Using built in Window Sounds
import winsound
winsound.PlaySound("SystemExit", winsound.SND_ALIAS)

You can change SystemExit for SystemAsterisk, SystemExclamation, SystemHand or
SystemQuestion to play different system sounds.
Note make sure you include the capital letters where they are positioned
Playing .wav sounds in the same folder as your program
import winsound
winsound.PlaySound("scream.wav", winsound.SND_FILENAME)

Make sure you place the sound file (eg scream.wav) in the same folder as your python program file.
Note don't name your program or any import name
Create your own sounds
import winsound
winsound.Beep(1500,200) #frequency, duration
Note you need to experiment to find the best frequency and duration
Sounds in a loop

import winsound

for i in range(30):
    winsound.Beep(freq,200) #Watch out for capital B! in Beep