Your statement works well on my machine with system sounds (e.g. "chord.wav"). Please note the remarks on the PlaySound function:
The sound specified by pszSound must fit into available physical memory and be playable by an installed waveform-audio device driver. PlaySound searches the following directories for sound files: the current directory; the Windows directory; the Windows system directory; directories listed in the PATH environment variable; and the list of directories mapped in a network. For more information about the directory search order, see the documentation for the OpenFile function.
If it cannot find the specified sound, PlaySound uses the default system event sound entry instead. If the function can find neither the system default entry nor the default sound, it makes no sound and returns FALSE.Be careful in particular to the location of the file: the current directory for example is not necessarily the application directory. You could try firstly playing a system sound, next placing your specific sound in a directory listed in the path and last placing it in another directory and passing the full pathname of the file PlaySound function.