A square wave is the easy way to generate a pitch, at any frequency in the audio spectrum.
You probably want to use 12 notes per scale (as is commonly in use today). You must match each pitch to its frequency as generated by your mcu. You must program the correct loops, delays, etc.
To create a melody, you will output a frequency for a suitable time period, then you will change to the next frequency, etc.
Your sound will probably be pulsed DC. To convert it to AC, put a DC blocking capacitor on the output wire. You may or may not need to amplify it. Avoid drawing overmuch current from the output, or exposing it to static charges.