Use PlaySound instead. It's slightly more flexible.

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 Sub Command1_Click()

    'Play the WAV
    PlaySound "C:\MyFile.wav", 0&, &H1

End Sub