You are not giving us much to go on... ;-)

Where would this file be located (hard drive, embedded in Word doc...)? Is
this just for you on yourmachine or would you need to distribute this to
other users? You mean when a particular document is opened, or any document?
Word version?

Generally, for a specific document, in the ThisDocument module, use this sub:

Private Sub Document_Open()

Dim OpenSound As Object

OpenSound = Shell("Path to application\Sound file")

End Sub