Hi,
I have looked over many web sites, and finaly found a site which explained how to connect to a 8 Ohm speaker, but in fact i would like to connect a small headphone speaker (like the one used in mp3 players), and as I understood they are 32 Ohm ?
I don't wanna fry my arduino :-/ How should I connect to the PWM ?
ho, i forgot, i'd like to control volume level 
but i do not really care about the quality of the sound, which will be in the low frequency range.
thanks.
Best bet is if you use an audio amplifier chip like the LM386
http://www.national.com/mpf/LM/LM386.html
However I am not sure what you want to do with PWM, this is in the audio region and you will here it as a constant tone no matter what value you write to it.
Thanks Not_So_Grumpy_Mike i hope
In fact the circuit i was thinking about is on thi page, very simple - it will definitly not do any HIFI grade sound...but enough for me.
The graphic is audio-out.jpg. But as I really am a beginner in electronics...I'm afraid of frying my board if I use a headphone speaker instead, and (less afraid) to get no sound
http://www.tigoe.net/pcomp/code/input-output/analog-output
Thanks a lot.
Ok you can just replace the 8 ohm speaker in the circuit on that page with you headphones.
It doesn't matter to the arduion that they are 32 ohm in fact this is a less of a load so you should get a slightly louder sound. There is no danger about frying your outputs because you have large resistor (1K) in line with the pin.
Best of luck
Thanks Mike!