I'm pretty sure you are not forming your URI correctly. Use the message box to show the URI location and I would bet that its not your application directory.
You could do something like this:
Dim fileUri as Uri = New Uri(Application.StartupPath + @"\Introduction.mp3", UriKind.Absolute)
mPlayer.Open()
MessageBox.Show("The audio should be playing " & fileUri.ToString(), "Playing", MessageBoxButton.OK)
mPlayer.Play()
(You may need to tweak, I'm not a VB programmer)
You should also set your Build action to "None" instead of Content.