You'd need a library that supports sound output.
You need to load the audio stream, and then play it.
Here's an example in SFML-2.0:
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sf::Music fluttershy; // Since you wanted horse sounds.
std::this_thread::sleep_for(std::chrono::seconds(3)); // Just wait for the sound to finish.
Core C++ offers no such facilities, Beep is also not part of the core language.