How was Montag affected by listening to Captain Beatty play his harp and needle him?
I think that what you are referring to is the part where Montag is at the fire station after having been to Faber's house. He has the "bug" in his ear and Beatty is talking to him.
Now, it's important to realize that Beatty is not really playing a harp -- he's just lecturing Montag. So the "harp" is a figure of speech.
Anyway, he is telling Montag all about why books are really stupid and anyone who believes in them is stupid. The effect on Montag is pretty severe. Montag gets really scared. His heart is beating very rapidly (like "the day after the war," Beatty says) and his head is whirling. He feels like he's going to be sick.
This is because he pretty much realizes at this point that Beatty knows he's been reading and collecting books. Right after Beatty gets done needling him, the alarm rings and they go off -- it's the alarm for Montag's own house.