Hi, Paul - don't know how to diable CAPSLOCK, but you should be able to make it make a noice if you accidentally hit it.
Hit your "start button" and go to "settings" and open your Control Panel. Select "Accessibility Options" - on the "keyboard" tab, check "use toggle keys."
I was able to get this to work on my old computer, which had Windows 95 and an internal computer speaker. Won't work on my current computer, which has Windows 98 2nd Edition, and no internal speaker (but I swear the noise came through my sound card on the old computer).