Connect a jumper from the TX pin (Digital Pin 1) to the RX pin (Digital Pin 0)
Strictly speaking, they aren't pins. If you are going to worry about people not hearing sounds because the volume is down, you might point out that they are sockets. It's the male/female thing. The boards only have a handful of pins, the rest are sockets.
And I can't resist this:
Graynomad:
I hope I'm not splitting hairs but this is for beginners.Windows produces a device insertion tone
Not if sound is disabled.
Warning: if you are deaf you won't hear it.