Recognizing low-pass filters
There are two capacitors, one on Vcc for decoupling, and one on PB4.  The latter actually is a HIGH PASS FILTER, to remove any DC component on the signal driving the speaker.

For a low pass filter, if you need one, I'd recommend an op amp circuit (to drive the low impedence speaker), like , taken from http://www.swarthmore.edu/NatSci/echeeve1/Ref/FilterBkgrnd/Filters.html, with the cutoff frequency equal to \$ \frac{1}{2 \pi R_1C_1} \$, set to about 40KHz, assuming your PWM is well above 40KHz.  Depending on what the speaker is, and how much power you need to generate, that might need to be an audio op amp capable of pushing some power.

\$C_2\$ would be the cap already in your circuit, and \$ \frac{R_1}{R_2} \$ would be the gain.  If the resistors are equal, the gain is unity. 

http://elm-chan.org/works/sd20p/sdsg.png looks like it is actually using the speaker itself as a low pass filter.  If you keep the PWM frequency high enough, the speaker will not be able to track it, so you don't need another low pass filter.