This instructable will show you how to make a simple sequencer that plays a little melody. You can hear how it sounds here:
Step 1: Parts
Don't worry if you don't have the exact values. It will probably work, but might be with lower sound quality. The Arduino is not powerful enough to drive a pair of headphones so you will need some kind of preamp for that - e.g. a headphone preamp like this one.
Step 2: Add the components to your breadboard
Step 3: Connect to the Arduino board
Step 4: Connect to the speakers
Step 5: Upload code
Congratulations - you are ready to go!