Snippets below have been condensed from their original sources for brevity. See references for original articles.

All examples are in C# .Net.

Winforms:

        public static enum SoundSource {
        FromFileSystem = 0,
            FromResourceStream=1
        }

        public static void PlaySound(string Filename, SoundSource Source) {
            switch (Source) {
                case SoundSource.FromFileSystem:
                    SoundPlayer objPlayer = new SoundPlayer();
                    objPlayer.SoundLocation="C:\\" + Filename;
                    objPlayer.Play();
                    break;
                case SoundSource.FromResourceStream:
                    SoundPlayer objPlayer2 = new SoundPlayer();
                    objPlayer2.Stream = GetEmbeddedResourceStream(Filename);
                    objPlayer2.Play();
                    break;
            }
        }

        private static System.IO.Stream GetEmbeddedResourceStream(string FileName) {
            Assembly objAssembly;
            System.IO.Stream soundstream;
            objAssembly = Assembly.LoadFrom();
            
            soundstream = objAssembly.GetManifestResourceStream(FileName);
            return soundstream;
        }

ASP .Net: (create an empty div in your page called “sound_element”)

        public static void PlaySound(Page PageInstance)
        {
            ClientScriptManager ClientScript = PageInstance.ClientScript;

            string soundclipscript =
                "<script type=\"text/javascript\">" +
    "$('#sound_element').html(\"<embed src='\"+ PageInstance.ResolveUrl(\"~\") + "Sounds/ambient1.mp3" +\"' hidden=true autostart=true loop=false>\");" +
"</script>";
            
            AjaxControlToolkit.ToolkitScriptManager.RegisterStartupScript(PageInstance, PageInstance.GetType(), "playsound",
                soundclipscript, false);

        }

Note there are many ways to play audio in a page, and the above snippet is not necessarily the best approach for every browser.

New HTML5 audio tag:

<audio src="horse.ogg" controls="controls">
Your browser does not support the audio element.
</audio>

References
dotnetspider, http://www.dotnetspider.com/resources/5014-Play-Audio-File-Wav.aspx
W3C Schools, http://www.w3schools.com/html5/tag_audio.asp