Here is a link to Radio Shack's description. It says the module comes with a speaker, 9V battery snap, and push button. Customers give it favorable comments.
https://www.radioshack.com/product/index.jsp?productId=2102855
You push the button momentarily. The device draws power for 20 seconds and plays a sound. (It may be wise to disconnect the battery when you are not using the device.)
Somewhere on the circuit board, you may find a point, where power is available for those 20 seconds, to light the led.
Only if you are lucky will you be able to find that spot.
It may be a path to ground, or else a connection to +9 V. To find it, you will no doubt have to test the voltmeter on several spots.
You will need to solder a wire to that point, and then you will need to solder a second wire to a second spot which will be either +9V or ground (depending which arrangement gives you power).
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Or, there is a bare chance it will work for you to tap across the speaker leads.
The AC voltage applied may be at sufficient amplitude to light the led. This possibility is interesting because the led will flash brighter when sound is louder.
Also look to see if the speaker has a DC blocking capacitor inline. You would hook the led across both the speaker and capacitor.
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If you cannot get sufficient voltage at the speaker, then you can add a transistor in such a way as to drive the led, at varying brightness according to loudness.