1. Right click on your project name in solution explorer.
2. Point the cursor on Add then choose Existing Item...
3. Now go to the Location of your sound file and select that sound file.
4. Now select your sound file in solution explorer then Right click on it choose Properties and change its Build Action property(Content to Embedded Resource)
5.Build the program or one time Debug the program.
6. Now if you want to play sound file when a particular Form is loaded then use the given code in Form_Load event.
NOTE:-In this code Dreamer.wav is name of sound file.