Code:
Private Const SND_ASYNC = &H1         '  play asynchronously
Private Const SND_FILENAME = &H20000     '  name is a file name


Private Declare Function PlaySound Lib "winmm.dll" Alias "PlaySoundA" (ByVal lpszName As String, ByVal hModule As Long, ByVal dwFlags As Long) As Long
Private Sub Form_Load()
 ' have it complete async 
    PlaySound "C:\WINDOWS\MEDIA\TADA.WAV", ByVal 0&, SND_FILENAME Or SND_ASYNC
End Sub