Code:
Private Const SND_APPLICATION = &H80         '  look for application specific association
Private Const SND_ALIAS = &H10000     '  name is a WIN.INI [sounds] entry
Private Const SND_ALIAS_ID = &H110000    '  name is a WIN.INI [sounds] entry identifier
Private Const SND_ASYNC = &H1         '  play asynchronously
Private Const SND_FILENAME = &H20000     '  name is a file name
Private Const SND_LOOP = &H8         '  loop the sound until next sndPlaySound
Private Const SND_MEMORY = &H4         '  lpszSoundName points to a memory file
Private Const SND_NODEFAULT = &H2         '  silence not default, if sound not found
Private Const SND_NOSTOP = &H10        '  don't stop any currently playing sound
Private Const SND_NOWAIT = &H2000      '  don't wait if the driver is busy
Private Const SND_PURGE = &H40               '  purge non-static events for task
Private Const SND_RESOURCE = &H40004     '  name is a resource name or atom
Private Const SND_SYNC = &H0         '  play synchronously (default)
Private Declare Function PlaySound Lib "winmm.dll" Alias "PlaySoundA" (ByVal lpszName As String, ByVal hModule As Long, ByVal dwFlags As Long) As Long

Private Sub Form_Load()
    PlaySound "C:\WINDOWS\MEDIA\TADA.WAV", ByVal 0&, SND_FILENAME Or SND_ASYNC

End Sub
Du musst das lied (WAV, denn mp3 ist mehr code) als resource anhängen und wenn dein Programm startet, soll es entpackt werden und dann halt mit PlaySound starten