Yes, that's a Win32 API function. It should be in your compiler's documentation, or there's always MSDN.
I don't know the exact syntax, and the machine I'm on right now doesn't have a compiler, so I can't try it out. PlaySound("TADA.WAV") might work, but you might have to include the full path name or copy TADA.WAV from your media folder to your current directory.
I think the other two paramaters are optional, but you may need something like this: PlaySound("C:TADA.WAV", NULL, SND_FILENAME), or maybe PlaySound("C:\\WINNT\\MEDIA\\TADA.WAV", NULL, SND_FILENAME | SND_ASYNCH).
Note that PlaySound() only works for short sounds that fit into the RAM buffer. (I don't know the real limits, but you can't play a full song ripped from a CD with it.) And, it only works for WAV files. If you want to play an MP3, you have to decode it first.
Another way to make sounds is with MIDI. It can get complicated, but I was able to write a short program (less than 20 lines of "real code") to play a few notes or chords from what I learned on this site.