Use the sndPlaySound API. Put the following code in a module.

Code:
Declare Function sndPlaySound Lib "winmm.dll" Alias "sndPlaySoundA" (ByVal lpszSoundName As String, ByVal uFlags As Long) As Long
Now add this code to the Form's Initialize event

Code:
Private Sub Form_Initialize()

   Call sndPlaySound("C:\MyaveFile.wav", &H1)

End Sub