ReverseEMF:
Does either "buzzer" work if you apply power to it manually -- i.e. if you apply 5V to it, does it buzz [I suggest you place a 100Ω resistor in series with the positive lead, if you hear a click, then it's a *speaker*, not a *buzzer*. If you don't hear a click, then try it without the resistor, etc.]? If not, then either it needs a greater voltage to properly function, or less resistance in series, or it's not a buzzer, but a speaker, or it's bad. Try a simple sketch that uses the tone() function to apply a tone to the piezo.If it does sound when you apply voltage directly [probably with that series resistor ;)], then the Arduino pin may not be able to supply enough current. You will need to drive it with a transistor. But, I can't imagine a piezo device would need more than 40mA.
Here's a few great tutorials:
The site linked you linked (instructables) has infection web site links on it !