I know it would.
He said it starts beeping when it gets to windows.
When Windows loads, the CPU has some processing to do no? Hence a load occurs and the CPU is creating more heat (this is like processor 101

).
Now the motherboard has a set warning level of which it creates a warning sound (the constant, high pitched beeping) when the CPU reaches a certain level of temperature. Normally around 66 degrees Celsius and up.
It wouldn't occur during BIOS because there is no heavy load for the CPU is there now?
Plus the HDD thing, if there isn't a HDD plugged in then there is no windows to boot into hence why no beeping...
Makes sense?