I don't think there's a way to turn it off in BW. So yes, turning your speakers down or off would be the simple way to avoid hearing it.
The non-simple way would be this: Error beeps like this are produced when a program calls for a certain sound to be produced by Windows. On my system, I've found that for this error BW calls for the "Windows Asterisk" sound. These sounds are configurable, through Control Panel. (I mentioned that this was non-simple!)
If you open Control Panel and look for Sound settings, you should see one that says something like "Change system sounds." (That's Windows 7; it may be a little different in Windows XP or Vista.) When you select that, it brings up the Sound dialog. On the Sounds tab, there is a list of Program Events, and the first of these is Windows Asterisk. Click on this, and you will see that below it under Sounds "Windows Error.wav" appears. (Again, this is Win7.) You can click Test to confirm that this is the sound you're hearing. Click on the drop-down arrow next to "Windows Error.wav" and you'll get a list of alternative possibilities. You can either find one you don't mind as much, or choose "None." You can even click Browse to find some other sound on your computer. Clicking OK or Apply will set this sound (or None) as the sound that will play whenever any program calls for the "Windows Asterisk" sound.
BE AWARE, however, that this choice will affect every program on your computer. If you never want to hear a program "beep" you with this sound when it thinks it needs to, you can choose None. But the odds are that you will miss some important notifications that way.
I mentioned that this was non-simple, didn't I?
For further guidance, Microsoft has instructions for doing this in Windows 7 and in Windows XP.