Unfortunately it didn't
I bought it discount, without such useful things as a manual!

The manufacturer is MSI, and on their site, it states that a high-low siren is due to insufficient cooling.
I have attached a 3000rpm fan to the CPU with thermal grease, and plugged in the 3 pronged plug.
Is there something i have missed, should 3000rpm be enough for a P4 2.66g cpu???