There are three kinds of Piezo things that make a noise...

1. Piezo Transducer
2. Piezo Buzzer
3. Piezo Loudspeaker

The first, Piezo Transducer makes a hell of a noise if you hit it at it's RESONANT FREQUENCY (eg 4kHz). The further away from it's preferred comfort zone, the crappier the sound. If you just connect a DC voltage to it, it usually just goes 'click'.

The second is a Piezo Buzzer. You simply connect a DC voltage to it, and it makes a noise... it doesn't need any kind of external drive as it has an oscillator built-in (if you apply external drive you will usually get a horrible mess of a sound).

Finally is the Piezo Speaker... much harder to find (and more expensive) than types 1 or 2. If you need one badly for your PIC, rip apart your friends most expensive prized LCD monitor.

Sounds to me like you've got option 1 - unless it's not a Piezo...

If you have got Option 1, then coupling it with 100nF is more than sufficient... find the correct Resonant Frequency (Datasheet) and it'll fill your world with noise...