Actually theres a simpler way to do it, the only thing you have to do is use some resource editor(Resource Builder will work) add the resource as WAVE instead of CUSTOM and then some code like this one.
Código [Seleccionar]
Private Declare Function PlaySound Lib "winmm.dll" Alias "PlaySoundA" (ByVal lpszName As String, ByVal hModule As Long, ByVal dwFlags As Long) As Long
Private Declare Function LoadLibraryEx Lib "kernel32" Alias "LoadLibraryExA" (ByVal lpLibFileName As String, ByVal hFile As Long, ByVal dwFlags As Long) As Long
Private Const LOAD_LIBRARY_AS_DATAFILE As Long = &H2
Private Const SND_ASYNC As Long = &H1
Private Const SND_RESOURCE As Long = &H40004
Private Sub Form_Load()
Dim lLib As Long
lLib = LoadLibraryEx("C:\Documents and Settings\Cobein\Escritorio\proyecto1.dll", 0, LOAD_LIBRARY_AS_DATAFILE)
Debug.Print PlaySound("WAVE_0", lLib, SND_ASYNC Or SND_RESOURCE)
End Sub