If you have a sound card in your computer, i.e. if it can say more than an occasional beep, say Y. Be sure to have all the information about your sound card and its configuration down (I/O port, interrupt and DMA channel), because you will be asked for it.
You want to read the Sound-HOWTO, available from <http://www.tldp.org/docs.html#howto>. General information about the modular sound system is contained in the files Documentation/sound/Introduction. The file Documentation/sound/README.OSS contains some slightly outdated but still useful information as well.
If you have a PnP sound card and you want to configure it at boot time using the ISA PnP tools (read <http://www.roestock.demon.co.uk/isapnptools/>), then you need to compile the sound card support as a module ( = code which can be inserted in and removed from the running kernel whenever you want) and load that module after the PnP configuration is finished. To do this, say M here and read Documentation/modules.txt as well as Documentation/sound/README.modules; the module will be called soundcore.o.
I'm told that even without a sound card, you can make your computer say more than an occasional beep, by programming the PC speaker. Kernel patches and supporting utilities to do that are in the pcsp package, available at <ftp://ftp.infradead.org/pub/pcsp/>.