MSDN: To play multiple sounds simultaneously, use the waveOut* functions in the Waveform Audio API.

VFP code sample (membership required)
WAV file player
http://www.news2news.com/vfp/?example=417

API functions used:
GlobalAlloc
GlobalFree
mmioAscend
mmioClose
mmioDescend
mmioOpen
mmioRead
waveOutClose
waveOutGetPosition
waveOutGetVolume
waveOutOpen
waveOutPrepareHeader
waveOutReset
waveOutSetVolume
waveOutUnprepareHeader
waveOutWrite