how exactly do i add a sound to a button in VB2010?

i saw somewhere you can use wmp component in visual basic and use that to create a sound but what i did was, create a button, put an icon on it, and now i am trying to add a sound to the button. Im guessing this can be done 2 ways, by using a hyperlink, or by using a sound i downloaded to my computer. if possible could both ways be explained?