OK, things are getting really weird now. While the SoundPlayer class isn't working, it caused a "Imports System.Media" line to be put at the front of my code, and NOW My.Computer.Audio.Play() works. I conclude that the auto-import mechanism doesn't work for My.Computer.Audio.Play and you have to manually import System.Media.

Fun. Thanks, MS. I consider this solved now, but I will bring it to MS's attention also. Thanks for your help.