You can use sound() as Star Strider shows, but the timing on it is terrible for the purpose of stimulation studies.
AudioPlayer offers more control over timing, but it is still weak for the purpose of stimulation studies.
Audio System Toolbox offers finer control than either of those.
However... for stimulation studies, I recommend that you look at Psychtoolbox, a third-party product specifically designed for psychophysical experiments. It has visual and audio facilities, and tries hard to be precise, such as having a number of different internal strategies to work with different hardware setups to provide frame-accurate timings.