That beep is audible feedback that is provided when you press Enter in a single-line TextBox on a form that has no AcceptButton and it indicates that the Enter key will have no effect. If you take that away then the user might expect something to happen when they press Enter and think that your app is broken when it doesn't. If the user knows that Enter has no effect under those conditions then why are they even hitting the Enter key in the first place? If it's an accident then it will only be a rare occurrence so I don't see why it's a problem. I don't think you can change that easily in previous versions but in .NET 2.0 you can do this:
Code:
private void textBox1_KeyDown(object sender, KeyEventArgs e)
{
if (e.KeyCode == Keys.Enter)
{
e.SuppressKeyPress = true;
}
}