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Use MessageBeep function for solving of this problem. Parameter of this function is sound type.

var MyType: Integer;
...
procedure TForm1.Button1Click(Sender: TObject);
begin
  MessageBeep(MyType);
end;

procedure TForm1.ComboBox1Change(Sender: TObject);
begin
  case ComboBox1.ItemIndex of
    0: MyType:=MB_ICONASTERISK;
    1: MyType:=MB_ICONEXCLAMATION;
    2: MyType:=MB_ICONHAND;
    3: MyType:=MB_ICONQUESTION;
    4: MyType:=MB_OK;
  end; 
end;