This was found via a Wikipedia entry, titled Singing Sand:

On some beaches around the world, dry sand will make a singing, squeaking, whistling, or barking sound if a person scuffs or shuffles their feet with sufficient force.[2][3] The phenomenon is not completely understood scientifically, but it has been found that quartz sand will do this if the grains are very well-rounded and highly spherical.[4] It is believed by some that the sand grains must be of similar size, so the sand must be well sorted by the actions of wind and waves, and that the grains should be close to spherical and have dust-, pollution-, and organic-matter-free surfaces. The “singing” sound is then believed to be produced by shear as each layer of sand grains slides over the layer beneath it. The similarity in size, the uniformity, and the cleanness mean that grains move up and down in unison over the layer of grains below them. Even small amounts of pollution on the sand grains reduces the friction enough to silence the sand.[3]

We also walked a squeaky beach in The Catlins, New Zealand.