Debes de usar esta api.
La ruta donde están los sonidos de windows es en C:\windows\Media
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'Ejecuta un fichero Wav, por el dispositivo de sonido (tarjeta de sonido).
Private Declare Function sndPlaySound Lib "winmm.dll" Alias "sndPlaySoundA" (ByVal lpszSoundName As String, _
ByVal uFlags As Long) As Long
Const SND_SYNC = &H0 'just after the sound is ended exit function
Const SND_ASYNC = &H1 'just after the beginning of the sound exit function
Const SND_NODEFAULT = &H2 'if the sound cannot be found no error message
Const SND_LOOP = &H8 'repeat the sound until the function is called again
Const SND_NOSTOP = &H10 'if currently a sound is played the function will return without playing the selected sound
Const Flags& = SND_ASYNC Or SND_NODEFAULT
Private Sub Form_Load()
Dim FicheroSonido As String
FicheroSonido = "C:\WINDOWS\Media\Apagado de Windows XP.wav"
sndPlaySound FicheroSonido, Flags
End Sub
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Saludos y suerte.