It is narrated from Sayyiduna al-Miswar bin Makhramah and Sayyiduna Jabir bin Abdullah (may Allah be pleased with them both) that the Messenger of Allah (peace and blessings be upon him) said: "A newborn does not inherit until it shows a sign of life by crying out." And its showing that is that it screams, or cries, or sneezes.
Hadith Referenceالمعجم الكبير للطبراني / باب الميم / 17159