Almost all computers still have a small speaker mounted inside the case. This speaker is adequate for the audible signaling that Windows and other software produces to warn you when some important event has occurred. The computer's BIOS also uses this speaker to produce the beep codes that sound when the Power-On Self Test detects certain types of system problems.
Because those beeps and other alarms are intended to attract your attention rather than to entertain you, small cheap speakers are entirely adequate for this use. But when you want to listen to the sounds that come to you through the computer, you want something better.
When Windows detects a sound controller on the motherboard or a separate audio device, it redirects alarm sounds from the built-in speaker to the sound controller. You can use the BIOS Setup Utility to disable the sound controller and use the built-in speaker instead.