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var
  Mem: Pointer;
  Stream: TFileStream;
begin
  Stream := TFileStream.Create('test.wav', fmRead);
  GetMem(Mem, Stream.Size);
  Stream.Read(Mem^, Stream.Size);
  Stream.Free;
  {...}
  PlaySound(Mem, 0, Snd_Memory Or Snd_Async Or Snd_Nodefault);
  {...}
  FreeMem(Mem);                    

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type
  TBeepThread = class(TThread)
  public
    FBeepFreq: Integer; // sound frequency, in hertz
    FBeepDuration: Integer; // sound duration, in milliseconds
  protected
    procedure Execute; override;
  end;


implementation

{$R *.dfm}


procedure TBeepTHREAD.Execute;
begin
  Windows.Beep(FBeepFreq, FBeepDuration);
end;

procedure TForm1.Button1Click(Sender: TObject);
var
  BeepThread: TBeepThread;
begin
  BeepThread := TBeepThread.Create(False);
  BeepThread.FBeepFreq := 1000;
  BeepThread.FBeepDuration := 1000;
  BeepThread.Resume;
end;