Assume this is a tiller pilot. No manual? If not you can get one online.
These simple autopilots have two modes - manual and auto. In manual, after snapping the pilot onto the tiller, you press the course change buttons (usually 1 and 10 degrees port or stbd) to move the rudder until you are on the desired course. Then when you press Auto, it will memorize the course you are currently on. Use course change buttons to change course as needed.
The constant beeping is a warning that the tiller pilot is off of the desire course by 30 degrees (if I remember correctly). The beeping turns to a solid tone and the tiller pilot simply gives up once you've been off course by 30 degrees for more than 1 or 2 minutes.
The tiller pilot should not start beeping the moment you plug it in. The red light should blink slowly while in "standby" and remain on and steady while actively keeping course, so something isn't right with it.
I have an old AH1000 that is nearly identical that I'll give you for parts, if you want it. You can probably cobble both of them together for a single, functioning unit. The only thing wrong with mine, is damage to the case where the mounting pin is located.