You can use the Multimedia MCI Control
Code:
Private Sub File_Open()
    MMControl1.Command = "close"
    MMControl1.DeviceType = "WaveAudio"
    MMControl1.FileName = "c:\temp\" & "Test.wav"
    MMControl1.Command = "open"
End Sub

Private Sub Form_Load()
    File_Open
End Sub

Private Sub MMControl1_RecordClick(Cancel As Integer)
    MsgBox "Start recording"
End Sub

Private Sub MMControl1_StopClick(Cancel As Integer)
    MsgBox "Stop playing/recording"
End Sub