Lets assume that you have a working Tx/Rx and have tested with servos
I would then go through a ESC calibration:
Connect ESC to motor with no prop attached (safety).
Connect ESC to your Rx throttle channel.
With transmitter off, throttle to maximum, now turn on transmitter.
Attach ESC to power supply.
On the beep sound (usually one) move throttle to minimum (now 2 beep sounds).
If you have throttle cut-off make sure this is disengaged before starting.
Your ESC should be calibrated
and the annoying beeping should stop or be replaced with a powerup tune.