Follow these steps
1) open Excel
2) Tools-->Macro-->Visual Basic Editor
This Is the "VBE"
3)in the VBE go to veiw-->project explorer

On the left hand side of the VBE you should see a file tree looking thing
5) Click VBA Project(yourfilenamehere)

that should reveal Sheet1,2, and 3 and this workbook

6) double click this workbook and Copy and paste this

Option Explicit
Public Declare Function sndPlaySound Lib "winmm.dll" _
              Alias "sndPlaySoundA" (ByVal lpszSoundName As String, _
              ByVal uFlags As Long) As Long

Sub PlayWavFile(WavFileName As String)
       sndPlaySound WavFileName, 1
End Sub

7) Double click the Sheet1 module and paste this
Sub TestPlayWavFile()
   PlayWavFile "C:\WINDOWS\Media\Windows XP Startup.Wav"
End Sub

8) Close the VBE and return to excel

9) Veiw --> Toolbars --> forms
10) Drag the command button to the worksheet
11)Right Click the button -->Assign Macro
12) Select TestPlayWavFile
13) Click OK
14) Close the forms ToolBar

Test out your wav button good luck.