High low beeps ( siren ) indicate that the CPU is overheating.
If the new heatsink doesn't fit properly it won't be making a good thermal contact with the CPU and it will overheat. Also make sure you are using thermal compound between the heatsink and CPU to ensure good contact - Check your CPU manufacturers web site for correct installation of its heat sink.
Check the new fan is not faulty ( it might be new but does it work ? ) and of the same spec. as the old one ( Voltage and current etc. ) and that, if a 2 pin veriosn, the pins have not been accidentally connected the wrong way round, resulting in the fan spinning in the opposite direction.
More info. on MSI Web Site here : click here