If you can use .NET Framework 3.5 or above (if you want to use Visual Studio, it should be VS 2008 or later; but Visual Studio is absolutely not required to build any project), you can do the following: reference assemblies PresentationCode and WindowsBase (part of WPF placed in GAC, so use ".NET" tag of "Add Reference" window).
Dim audioFileName As String =
Dim player As New System.Media.SoundPlayer(audioFileName)
Please see: http://msdn.microsoft.com/en-us/library/system.media.soundplayer.aspx
It will play asynchronously (I tested it before posting the code, just in case).
Don't worry about WPF: your application does not have to be a WPF application, it can be anything.
One advice: try to use .NET API only, and nothing VB-specific.