Most piezos have two connections, but this type has three. They are called self-drive types, and they're meant to be used as part of the oscillator.

The piezo effect works both ways: if you apply a voltage the piezo stretches, but also if it stretches it creates a voltage. This principle is used to create a feedback signal which drives the oscillator.

The advantage of the self-drive is that it will automagically work at its resonance frequency, where it produces the loudest sound.

You need:
Piezo
2N2222A transistor (or some other NPN transistor)
150K ohm resistor
3.9K ohm resistor
620 ohm resistor