Audio Overview
http://msdn.microsoft.com/en-us/library/bb195055(v=XNAGameStudio.30).aspx

Making Sounds with XNA Game Studio 3.0
http://msdn.microsoft.com/en-us/library/bb203895(v=XNAGameStudio.30).aspx

Add a Sound File to Your Game Using XACT
http://msdn.microsoft.com/en-us/library/bb203879(v=XNAGameStudio.30).aspx