Did you try the Demo?
It says you can test the concept with earbuds.
If that works, then all you need to do is add a small amplifier board and you can drive a speaker, for instance:
Demos
Restart your arduino IDE and open file->examples->avr_sound and pick any of the 3 included samples.
Connect digital pin 8 and digital pin 9 to a resistor ladder then to an earphone. If you want to use a bigger speaker then you need a transistor.