Can't hear music anymore after switching user

I got a alarm on 1 of my windows accounts, it will go off whenever something
is wrong. Before I formatted my PC it allways worked, I could hear the alarm
going of at the other windows account and could switch fast to check it out.

Now when it goes of, it won't sound untill I go and check that windows
account, when I logged in there I can hear it.

The file is a danger.mp3 and I used it before I formatted my PC, I just need
to know how this file can be played. It's launghed by a other program that
uses winamp or windows media player. Windows media player doesn't work when I
put music on and switch user, it will just go silent untill i'm back. But
with Winamp it's possible to do that. But still even if I deleted windows
media player, it still only played at 1 windows account.

You can compare my situation with this:
I use msn on 1 windows account, whenever someone talks to me I'm supposed to
hear a sound. The sound works when I'm on that windows account but not on
other windows accounts, I need it to warn me on all accounts...

Probably about MSN you would say it will go standby or something, but I'm
not talking about msn, just a example