Navigate to Start, type keyboard in the Search programs and files field and double-click Keyboard Options. Select Key Settings List from the Key Settings tab and double-click CAPS LOCK. Check the Display CAPS LOCK status on screen box and press Finish.
Also, you can make your system beep if you go to Start > Control Panel > Ease of Access > Change how your keyboard works and check the Turn on Toggle keys box:
Alternatively, you can download and install Caps Lock software provided by George Jopling. This utility will display in the system tray if the Caps/Num Lock is off or on.