To play a simple sound, do the following:
Add "using MonoTouch.AudioToolbox" to your program, and then use this code snippet:
//
// Setup your session
//
AudioSession.Initialize();
AudioSession.Category = AudioSessionCategory.MediaPlayback;
AudioSession.SetActive(true);
//
// Play the file
//
var sound = SystemSound.FromFile (new NSUrl ("File.caf"));
sound.PlaySystemSound ();
If you want to play an Alert instead (the meaning of an alert depends on the current user settings and the device, for more information see Apple's documentation) use the PlayAlertSound method instead.