Besides, Windows multimedia solutions are not that simple either (although much better designed and operated). Unfortunately, multimedia support requires knowledge of API and/or external libraries. There are no shortcuts here.
I just typed here in a hurry, should be working without even reading api, so it might be wrong but anyway not overcomplicated.
uses
MMSystem;
procedure PlayWavFile(const FileName: string);
begin
sndPlaySound(PChar(FileName), snd_Async or snd_NoDefault);
end;
begin
PlayWavFile('C:\path\to\your\sound.wav');
end.
Or do it like the OP does and simple execute the wave file to start systems playback (in hope something useful is associated with).
For a more custom type of usage where you have more control over the playback, there are methods to be used and I agree, on that part you should start to read to know how its used correct.
From point of api, you can start at SoundMixer to select an output device over to decode audio to finally feed the output device with the buffered raw audio data.
Possibilities are endless, whatever you wish, the api provide it. If its about Mono/Stereo/Custom, Volume, DSP effects, visualized, equalizer and and and... api can do the job.