There is a documentation of the sound library on the arduino's official website.
Play existing sound
You also should look at the SD library cause you will probably need it. It just depend of the quality of your sound that you want to play. So if you'r searching for a 16bit studio quality sound you really should take a look at and especialy the reading part.
Play song (other)
If your are generating your sound donc forget that the DAC is only a 8bit one and you also have to look at the features of your card (mainly the RAM that you got)
In both case:
You will need a speaker to pin in and some function like analogWrite ()
You question is a little bit too general but I hope I ansered it well.