For koolsid's suggestion, press Ctrl+T while in design mode and find the multimedia audio component.

For RhinoBull's suggestion, you'll need the API declaration & constants
Code:
Private Declare Function PlaySound Lib "winmm.dll" Alias "PlaySoundA" (ByVal lpszName As String, ByVal hModule As Long, ByVal dwFlags As Long) As Long
Private Const SND_FILENAME As Long = &H20000
Private Const SND_ASYNC As Long = &H1