If you want to start simply, you can produce a
musical note with a piezo transducer (e.g. Radio
Shack part number 273-073).  Connect the positive
lead of the piezo to Vdd and the negative lead to a
PIC output pin (or vice versa I suppose).  Toggle the
state of the pin at twice the desired note's
frequency (you could use a timer/interrupt routine or
PWM to do this).

You may want to take a look at the article
"Low-cost techniques for sound generation" on
embedded.com
(http://www.embedded.com/story/OEG20030512S0079)


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