Hello Harpal,
How did you order this Server. The continued beeping usually indicates a Power Supply issue or a Hard drive issue.
So if you are getting the "insert boot device" Sounds like it didnt come built with an OS on it or it is not recongizing the Hard drives or your Raid Array.
Do you see the hard drives as it is going thru boot process.
Can you boot in the LSI Raid controller?
For it to boot from the Thumb drive recovery drive that comes with it you will have to change your boot variable and tell it to boot from the USB drive.