Form1.cs

// Implement WndProc in your own form, using the pattern below
public partial class Form1 : Form
{
    private MediaPlayer mediaPlayer;

    public Form1()
    {
        InitializeComponent();
        // Subscribe to Form's OnClosing event
        Closing += OnClosing;

        mediaPlayer = new MediaPlayer(this);
        mediaPlayer.OnNotify = OnNotify;
    }
    
    private void OnNotify(object sender, EventArgs e)
    {
        // Do something if media completed or was stopped.
    }

    private void OnClosing(object sender, CancelEventArgs e)
    {
        mediaPlayer.Close();
    }

    protected override void WndProc(ref Message m)
    {
        if (mediaPlayer.HandleMessage(m))
        {
            // in case we want to skip handling if message was already handled, we can return immediately here
        }
        base.WndProc(ref m);
    }
}

MediaPlayer.cs

using System;
using System.Runtime.InteropServices;
using System.Text;
using System.Windows.Forms;

/// <summary>
/// A wrapper around the Windows API mciSendString command, for playing audio files.
/// </summary>
public class MediaPlayer
{
    private readonly Form _parentForm;

    [DllImport("winmm.dll")]
    private static extern long mciSendString(string strCommand, StringBuilder strReturn, int iReturnLength, IntPtr hwndCallback);

    public const int MM_MCINOTIFY = 0x3B9;
    public const int MCI_NOTIFY_ABORTED = 0x4;
    public const int MCI_NOTIFY_FAILURE = 0x8;
    public const int MCI_NOTIFY_SUCCESSFUL = 0x1;
    public const int MCI_NOTIFY_SUPERSEDED = 0x2;


    /// <summary>
    /// Creates a MediaPlayer associated with the specified Form
    /// </summary>
    /// <param name="parentForm">the <see cref="Form">Form</see> that will recieve notification messages. </param>
    public MediaPlayer(Form parentForm)
    {
        _parentForm = parentForm;
    }

    /// <summary>
    /// Raised when the parent form recieves a MM_MCINOTIFY message.
    /// The Paremt form must override <see cref="Form.WndProc"/> and call this instance's <see cref="HandleMessage"/>
    /// </summary>
    public EventHandler OnNotify { get; set; }

    /// <summary>
    /// Opens a device of type <c>MPEGVideo</c> using the specified file and associates it with the specified alias
    /// </summary>
    /// <param name="file"></param>
    /// <param name="alias"></param>
    public void Open(string file, string alias = "MediaFile")
    {
        mciSendString($@"open ""{file}"" type MPEGVideo alias {alias}", null, 0, IntPtr.Zero);
    }

    /// <summary>
    /// Plays the previously opened device associated with the specified alias
    /// </summary>
    /// <param name="notify">If <c>true</c>, <see cref="OnNotify"/> will be raised when the media completes playback, or is stopped.</param>
    /// <param name="alias"></param>
    public void Play(bool notify = true, string alias = "MediaFile")
    {
        string command = $"play {alias} {(notify ? "notify":"")}";
        mciSendString(command, null, 0, _parentForm.Handle);
    }

    /// <summary>
    /// Pauses the device associated with the specified alias
    /// </summary>
    /// <param name="alias"></param>
    public void Pause(string alias = "MediaFile")
    {
        string command = $"pause {alias}";
        mciSendString(command, null, 0, IntPtr.Zero);
    }

    /// <summary>
    /// Resumes the device associated with the specified alias
    /// </summary>
    /// <param name="alias"></param>
    public void Resume(string alias = "MediaFile")
    {
        string command = $"resume {alias}";
        mciSendString(command, null, 0, IntPtr.Zero);
    }

    /// <summary>
    /// Stops the device associated with the specified alias. This will raise a notification. Use <see cref="Close"/> if you want to open a new media
    /// </summary>
    /// <param name="alias"></param>
    public void Stop(string alias = "MediaFile")
    {
        string command = $"stop {alias}";
        mciSendString(command, null, 0, IntPtr.Zero);
    }

    /// <summary>
    /// Closes the device associated with the specified alias
    /// </summary>
    /// <param name="alias"></param>
    public void Close(string alias = "MediaFile")
    {
        string command = $"close {alias}";
        mciSendString(command, null, 0, IntPtr.Zero);
    }

    /// <summary>
    /// 
    /// </summary>
    /// <param name="m"></param>
    /// <returns><c>true</c> if the message was <see cref="MM_MCINOTIFY"/></returns>
    public bool HandleMessage(Message m)
    {
        if (m.Msg == MM_MCINOTIFY)
        {
            OnNotify?.Invoke(this, EventArgs.Empty);
            return true;
        }
        return false;
    }
}