How do I locate a high-pitched screetching sound in my server room?

What are the steps to troubleshoot my server room? There is a high-pitched screeching sound that is starting to drive me crazy. I am not sure if it may be a fan, but as there is no tech support in-house; I would like to try and figure out what's going on to stop or suppress it if possible myself.

One way I find to help isolate sounds is to take a magazine or something and role it up turning into a tube. Place the tube next to your best ear, and cover your other ear. Then move around until you locate the sound. The idea is to use a tube to make your hearing very uni-directional. Once you get close you may have to move the servers around, or go to the back of the server to be sure. Also use the bone conduction trick suggested by Tom once you are close.

Find the direction that it's coming from. Walk towards it. If it's stronger from the left or right, turn in that direction.

It could be a fan. It could be a speaker in a UPS unit warning about low power. It could be a RAID card or internal battery unit complaining about something.

After that, hire some tech support.

If it's a fan or other rotational screech, you might find it by using an improvised "mechanic's stethescope" - A screwdriver, broomstick, or some other solid object. Solid objects conduct sound better than air does.

Place the tip of the screwdriver against the thing you want to listen to. Carefully put your ear to the handle of the screwdriver, so that it presses up to that little flap. You want a physical conduction path.. Don't put anything into your ear canal, obviously. The noise will be quite evident when you find the source.