Code:
uses
  MMSystem;

procedure TForm1.Button1.Click;
begin
  PlaySound('c:\Doggie.wav', 0, SND_FILENAME + SND_ASYNC);
end;

{

  Different modes:

 SND_ASYNC : Start playing, and don't wait to return Sound

 SND_SYNC  : Start playing, and wait for the sound to finish

// SND_LOOP:

PlaySound('BELLS.WAV', 0, SND_LOOP + SND_ASYNC);

{Keep looping the sound until another sound is played or
PlaySound(nil, 0, 0) is called. }