PS: Another method you can use, for any program you want, is to make a small batch file/Windows script which you need to run instead of the program itself:
VBScript code:
sSoundFile = "C:\directory\sound.mp3"
sProgramFile = "C:\Program Files\Windows Live\Messenger\msnmsgr.exe"
'Don't forget to update the proper paths in above variables
Set oWshShell = CreateObject("Wscript.Shell")
oWshShell.Run Chr(34) & sProgramFile & Chr(34)
Set oMCI = CreateObject("MCI.MMcontrol")
oMCI.Command = "Close all"
oMCI.FileName = sSoundFile
oMCI.Command = "Open"
oMCI.Wait = True
oMCI.Command = "Play"
Set oWshShell = Nothing
Set oMCI = Nothing
Save that as a file named "whatever
.vbs" (the file extension VBS is important!) and start this instead of Messenger itself.
More about VBScript can be found
here.
/ 
