declara esse API no General Declarations:

Option Explicit
Private Declare Function mciSendString Lib "winmm.dll" Alias "mciSendStringA" (ByVal lpstrCommand As String, _
ByVal lpstrReturnString As String, ByVal uReturnLength As Long, ByVal hwndCallback As Long) As Long

no Form_Load() bota assim:

Private Sub Form_Load()

  Dim i As Long, RS As String, cb As Long, W$
  RS = Space$(128)
  W$ = App.Path + "som.wav"
  i = mciSendString("open waveaudio!" & W$ & " alias sound", RS, 128, cb)
  If i Then MsgBox "arquivo nao encontrado."
  i = mciSendString("play sound", RS, 128, cb)

End Sub