Hi Friend,
There is a simple mistake in the url you are giving to the player object.
As you know anything after a forward slash "\" is considered as an escape character and so, the url as interpreted by system is wrong.
The correct systax would be.
System.Media.SoundPlayer player = new System.Media.SoundPlayer();
player.SoundLocation = "C:\\Users\\Desktop\\test.wav";
player.Play();
Have a look at "\\" instead of "\"
Hope it will help you.
Regards
Tushar Srivastava