Then you should have asked how to play a sound file rather then play and alert.
try{
var Sound = new File("C:/Windows/Media/tada.wav");
Sound.execute();
}catch(e){
alert("Can Not Play Sound");
};
This depends on system file associations. If there is a player associated with the file extension it should open and play the sound. It may also remain open after the sound is over, or may loop playing the sound repeatly