What kind of sound do you want to play?

For wave *.wav, use System.Media.SoundPlayer

Code:
Dim player As New System.Media.SoundPlayer("C:\song.wav")
player.Play()
For mp3, midi, wma, etc.. you may use the mciSendString API

Code:
    Declare Function mciSendString Lib "winmm.dll" Alias "mciSendStringA" (ByVal lpstrCommand As String, ByVal lpstrReturnString As String, ByVal uReturnLength As Integer, ByVal hwndCallback As Integer) As Integer
Use the following code to open and play
mciSendString("Open ""C:\song.mp3"" Alias MySong", "", 0, 0)
mciSendString("Play MySong", "", 0, 0)

Use the following code the close
mciSendString("Close MySong", "", 0, 0)

The 'MySong' is user-defined alias, you can change to different name so that you can control multiple songs, or playing them at the same time!