You can add a hidden WMP control if you want.
Right click the toolbox >> "Choose Items" >> COM components tab. Scroll right down and tick windows media player.
Then add one to your form, set it's visibility to false.
Then on your form_load event.
[php]
Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
AxWindowsMediaPlayer1.settings.autoStart = True
AxWindowsMediaPlayer1.URL = ("C:\example.mp3")
End Sub
[/php]