You cannot directly do this using .NET. However, there are some wrapper classes available at http://www.mentalis.org/soft/class.qpx?id=1 that allow you to do just this. You can download the latest version of these classes directly from the site.
We have packaged these classes as a library and added a simple Winforms sample and made these available here.
This library basically uses the Media Control Interface (MCI). More details are available here and in several other places.