"C:\Program Files\Microsoft Visual Studio 9.0\Common7\IDE\New Stories (Highway Blues).wma" sounds as you are using relative paths ("New Stories (Highway Blues).wma") in the context of Visual Studio (which sets the working directory to C:\...Commen7\IDE\).
You should pass the full path.
You can use
string path = System.IO.Path.GetDirectoryName(
System.Reflection.Assembly.GetExecutingAssembly().GetName().CodeBase );
to obtain the directory path to the directory of your application.
File.Open(path + "\\New Stories (Highway Blues).wma");
should work then.