There is such a system. However, it requires both you and your contact to already have installed two things: Audiator (the plugin that makes this possible) and the sounds you wish to send.
It is impossible to send a sound file and play it at once: you would have to start opening the file while it has not been fully sent, and it would be a security risk if files you send would be opened automatically.
Look for more information at the Audiator homepage at
http://audiator.osnetwork.sytes.net/
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