I have tried both of the following methods on Windows 7 and they work fine;
String filename = "C:\\Windows\\Media\\tada.wav";
System.Media.SoundPlayer sp = new System.Media.SoundPlayer(filename);
sp.Play();
and
String filename = "C:\\Windows\\Media\\chord.wav";
System.Media.SoundPlayer sp = new System.Media.SoundPlayer(new System.IO.FileInfo(filename).FullName);
sp.Play();