Try this..
System.Threading.Thread Thread1;
System.Threading.Thread Thread2;
System.Threading.Thread Thread3;
Thread1 = new System.Threading.Thread(this.playSound("aa.wav",0));
Thread2 = new System.Threading.Thread(this.playSound("bb.wav",1));
Thread3 = new System.Threading.Thread(this.playSound("cc.wav",2));
Thread1.Start();
Thread2.Start();
Thread3.Start();
public void playSound(string fileName,int i)
{
WaveOut waveOut = new WaveOut();
WaveFileReader waveReader = new WaveFileReader(fileName);
waveOut.Init(waveReader);
waveOut.DeviceNumber = i;
waveOut.Play();
}