I just did this tonight, what a co-incindence. Use PlayFile(path, 0, SND_FILENAME) where path is the path of your file or a varible set to the path. You have to include the header file and the correct library, and this can be found by entering the function like I have above, then pressing f1 when your cursor is over PlayFile. I would write it but I'm not at my computer right now, I'm at a different comp. MyCode was:
CString Path = "D:\\Data Files\\doh.wav";
PlayFile(Path, 0, SND_FILENAME);
Its that easy, the \ symbol is a backslash.