Recently I was asked about some features in Visual Basic 2005, specifically around the My namespace. One of the things I did in reply was to write a short article on using the My namespace to add sounds to a Visual Basic program. You can find the article (it is a PDF file) on MainFunction.com. I'm hoping to write a series of articles on the My namespace. In the mean time if you want to learn more about the My namespace there is a lot of information (here) that includes sample code and all sorts of articles and documentation.
Also at Coding 4 Fun is an article about adding music to your programs. You may want to check that out if you want to really impress people with the sounds of your life.