First, connect the laptop to a power outlet or plug in a flash drive and then lock the computer by pressing Windows logo key and L key at the same time.
If there is no beep sound, the theft alarm is not armed or not ready to use, see Why no beep sound when pressing Win+L.
If there is no theft alarm sound coming out when unplugging the power cord or flash drive, see Theft alarm sound is delayed or not emitted.
See also:
- A LAlarm Icon in the notification area
- FAQ: How to lock down a laptop to a table ?
- FAQ: How to disarm theft alarm?