>If I have a connection with a phone (I did an AT-answer command).
>How can I play wav.file ? The caller has to hear this sound.

One quick & dirty method would be to connect the output of your soundcard to the microphone input of the modem. This method would also need you to play around with other AT commands, to regain control of the modem & ensure it doesn't drop the line when there's no modem on the other end.

As a better method, if you have a voice capable modem, then using Windows Telephony API (TAPI) combined with the multimedia API maybe the way to go. This article may give some idea of how it works, but it is oriented towards C++.

http://www.microsoft.com/msj/defaulttop.asp?page=/msj/archive/s408.htm