How do I start a tone and let it run indefinitely till i stop it explicitly?

Question

I am trying to write a Piano application for my kid. What I am doing is using KeyDown and KeyUp Events inside a WinForm. The idea is to start emiting a frequency through the speaker in KeyDown event and then stop it in Keyup event. Just like in a piano :)

However, this is my first dabling in anything with Audio or Video. So, Is there a way to do it? Iz there a better way to do what I am suggesting. Note that I don't have access to midi or wav files or anything similar. Hence I can't start using samples that allow me to do this. Also note that I plan to go for more than just Piano frequencies.

Again, this is just for a kid to have fun (who is just 15 months old :)) Any help is appreciated.