Use this API Function in windows.h:
PlaySound("filename.wav", NULL, SND_ASYNC);
As I recall, you may have issues with files larger than 1mb. It's been a few years since I did unmanaged coding though, so this may no longer be an issue...
If you meant that you want to play MP3 files, google is your friend. If you add "codeproject" to your search phrase, you'll probably find a lot of article shere that describe how to play the desired sound file.