Values for the SND_FLAG variable are defined in the MMSYSTEM.H file (found in the C:\Program Files\Microsoft Visual Studio .NET\Vc7\PlatformSDK\Include folder on my machine.)
The following variables are defined:
/*
* flag values for fuSound and fdwSound arguments on [snd]PlaySound
*/
#define SND_SYNC 0x0000 /* play synchronously (default) */
#define SND_ASYNC 0x0001 /* play asynchronously */
#define SND_NODEFAULT 0x0002 /* silence (!default) if sound not found */
#define SND_MEMORY 0x0004 /* pszSound points to a memory file */
#define SND_LOOP 0x0008 /* loop the sound until next sndPlaySound */
#define SND_NOSTOP 0x0010 /* don't stop any currently playing sound */
I recommend setting the variable to 1 (SND_ASYNC) -- this allows the program to continue executing while the sound file is playing in the background, instead of waiting for the sound clip to finish.
Good luck.