That's because you're using the statement wrong. It should be:
Code:
Private Declare Function MessageBeep Lib "user32" (ByVal wType As Long) As Long
Private Const MB_ICONASTERISK = &H40&
Private Const MB_ICONEXCLAMATION = &H30&
Private Const MB_ICONHAND = &H10&
Private Const MB_ICONQUESTION = &H20&

Private Sub Command1_Click()
    MessageBeep (MB_ICONHAND)
End Sub