Yes, use a .dll call.
I don't have the database in front of me where I've done this, or I'd cut-and-paste it for you. But it isn't very difficult -- just your standard dll Declare statement in a module, with the call.
PlaySoundEx or something similar is the call. If anyone else can follow-up with an example, please do post it. But you can search msdn.microsoft.com for examples, too.
David Atkins, MCP
