You need to use the absolute path, make sure that you're sending a filename (use SND_FILENAME flag), and pause the program long enough to play the sound file (e.g., use getchar()). You need to link the winmm.lib library in your project settings, and #include windows.h and mmsystem.h in the header.
#include <windows.h>
#include <mmsystem.h>
int main() {
PlaySound((LPCSTR) "C:\\kenny g.WAV", NULL, SND_FILENAME | SND_ASYNC);
getchar();
}
API: http://msdn.microsoft.com/en-us/library/ms712879%28VS.85%29.aspx
That should be it. Let me know, thanks!