Stock up on supplies. Note the voltage on the buzzer. The power supply needs to provide as close to the voltage required by the buzzer as possible without going over. For example, an 8.7 volt buzzer will work fine with an 8 volt power supply, but could be damaged by a 10 volt one. Amperage is a different matter. Your power supply should output at least as much amperage as the buzzer calls for, if not more.
Connect one terminal of the buzzer and one terminal of the power supply together. Solder the connection to make it permanent.
Figure out where you want to put the buzzer and power supply in the room. They will need to be close enough to a wall socket for you to plug them in, and out of the way so that they won't be stepped on. You might want to attach the buzzer to a wall so keep it safely out of the way.
Cut out your switch wires. You want two wires long enough to reach from the open terminal of the power supply and the open terminal of the buzzer to the door with a few feet to spare. Solder them on to the terminals.
Attach one of the wires to a small iron plate and the other to a neodymium magnet. It does not matter which wire is soldered to which object.
Mount the plate on the foot of the door and place the magnet several inches inside the door. When the door is opened, the magnetism will latch onto the iron plate, completing the circuit.
Place the neodymium magnet right in front of the door, just far enough away that it does not latch on to the iron plate. As soon as the door is opened, the neodymium magnet will stick to the iron plate, completing the circuit.