Hi,
Usually to build something that interacts with the desktop, you need
to split things into two; the background service, which is always
running and monitoring whatever, and a desktop application (which
could just be a tray application or maybe no UI at all) that connects
to the service. When the service sees something "interesting" it can
broadcast to any listening application. The desktop upon hearing that
something interesting happened can then play the sound.
Of course you must be logged on for this to work; I don't think
there's any way to play sounds when not logged on (well, not that you
could do.. MS likely has ways for the logon program to do this).
