Windows provides the function mciSendCommand that can open wave files, play them, pause and resume the play. The following dialog box is a sample of the interface for such a program.
To see how the various buttons are constructed, you can download the zipped project that created the dialog by clicking here. You have to provide your own wav file. This program will also work as is to show videos. You need only substitute the name of an avi file for the wave file.