One way to do it, using a startup shortcut (playing Alarm03.wav for example):
- Open your shell:startup folder and create a new shortcut there
- Set the shortcut's target to: C:\Windows\System32\WindowsPowerShell\v1.0\powershell.exe -c (New-Object Media.SoundPlayer "C:\Windows\Media\Alarm03.wav").PlaySync();
- Open the shortcut's properties window, and set its Run mode to: Minimized
An alternative would be to use Task Scheduler: create a task with the above command line as the action, trigger set to startup or login, and security set to "Do not store password".