The simple explanation is that you take a modulated electrical signal to create a modulated electromagnetic field. That field then vibrates some sort of physical object (like a speaker cone) causing that cone to vibrate, which causes air to move in ways that create alternating high- and low-pressure; a wave. A sound wave.

Moving more air will create more dramatic pressure differences; it will make the sound louder. This can be done by a combination of larger speakers than can push more air every time they vibrate and/or creating a stronger electro-magnetic field (usually accomplished by turning up the volume).

Sending 100 electrical pulses per second will result in a steady low note as the speaker cone vibrates at 100 hertz. Sending 8000 electrical pulses per second will yield a high note as the speaker cone vibrates at 8 kilohertz. Varying the pulse rates and magnitudes of the electrical signal will result in more complex sounds like speech, music....

I guess, as electricity is the vessel in which sound waves are travelling on... as they enter the speaker, different frequencies and wave lengths, create different sounds as they travel through the speakers circuitry.

Hope it helped a bit.