It might just not have a speaker on the motherboard though (mine doesnt... at least not an external one)
I'd think if the monitor was plugged up right, there is nothing really you can do, since it should recognise it and boot it up. The orange light says its not getting a signal from anything.
Does the CPU fan spin up? So you know its at least starting to boot up? Listen for the whirring of the hard drives too to suggest it loading.
If all this is okay, I'd just buy a cheap video card if you dont want anything much. You should have some spare PCI ports if you haven't got any AGP ones.