C++ - Escape sequence doesn't work on my system

C++ - Escape sequence doesn't work on my system

I just started learning C++, and I came across an escape sequence that
must make a beep. When I compile it and run, i don't hear a beep for some
reason. Here is the code:
#include <iostream>
using namespace std;
int main(){
cout << "Cool\a\nHey man!\n";
return 0;
}
Any help would be appreciated. Thanks!