If the computer did not have Windows Media player, it probably wouldn't work. Unless the little engine to play it was included with Access, but every every PC comes with WMP, and Macs can't use Access, so it shouldn't be a problem.
In the design view of your access form access form, click on your little icon that looks like a wrench and a hammer "more controls", then scroll down to Windows Media Player. You'll see it drop right down on the page. Really easy.
You can then right click on that control go to properties and see all the options you have to play with.
On the "Other" tab go to custom and click on the button that appears to the right. Another property page, specific to WMP will pop up. That's where you point it to a specific file.