Caps+Lock+In+Windows+7

CAPS LOCK IN WINDOWS 7
Hold the Windows key and press U (Win+U) to bring up the:- Ease of Access Center.

The links you need can be found under Explore all settings.

To add sounds, click on the Make the keyboard easier to use link, which is one up from the last option.

In the dialog box that pops up, check Turn on Toggle Keys at the bottom of the screen

For visual notification, choose Use text or visual alternatives for sounds. Here you can also flash Active Window as well as Turn on sounds by placing a tick/check in the box. If you have the facility, you can include spoken dialog - wow!  