#include <Mmsystem.h>
#pragma comment(lib, "Winmm.lib")
...
//IDR_WAVE_MY_SOUND = Resource ID of your WAV file
//hInst = HINSTANCE of the module this resource is in
//Play sound asynchronously
if(!PlaySound(MAKEINTRESOURCE(IDR_WAVE_MY_SOUND), hInst, SND_RESOURCE | SND_NODEFAULT | SND_NOWAIT | SND_NOSTOP | SND_ASYNC))
{
//Error, sound not played
}