So the standard way of playing both sound effects and background music is using the XNA library.
I wrote a blog post on playing async sound in the windows phone that is pretty straight forward
Basically it says this
using Microsoft.Xna.Framework.Audio;
using Microsoft.Xna.Framework.Media;
using Microsoft.Xna.Framework;
static Stream stream1 = TitleContainer.OpenStream("soundeffect.wav");
static SoundEffect sfx = SoundEffect.FromStream(stream1);
static SoundEffectInstance soundEffect = sfx.CreateInstance();
public void playSound(){
FrameworkDispatcher.Update();
soundEffect.Play();
}
Doesn't get any easier than that. To get specific wav requirements look at the MSDN page for supported formats
I also posted a working solution for download on my blog post.
Good luck!