You can use an accessibilty feature in windows to make an on/off sound for caps lock, scroll lock and Num lock. Go to Control Panel, Accessibilty Options. On the key board TAB check "Use toggel keys"
To make Ctrl, Shift and Alt make sounds you can use an AutoHotKey script and keep it running in the background all the time ...
if GetKeyState("Shift", "P")
SoundBeep, 750, 500
if GetKeyState("Alt", "P")
SoundBeep, 600, 500
if GetKeyState("Ctrl", "P")
SoundBeep, 450, 500
If you haven't got AHK installed on your machine you can download it from www.autohotkey.com
The two numbers following SoundBeep represent the pitch followed by the duration of the sound so you can modify them as you want.
The script above is saved below as an AHK file, all you need to do is double click it to get it to run in your system tray.
If you can't be bothered download AutoHotKey you can just download the .exe version below (which is a compiled version of the script), just double click it to make it run.