The first thing you need to do is download the DirectX SDK. Once you download and install this, look in the samples folder C++ / XAudio2. You can check out those samples to see how it all works. DirectSound and DirectSound3D have been deprecated since Windows Vista. You can still program with it if you want to support Windows XP, but Windows Vista and Windows 7 will run in software mode instead of hardware (not really a big deal). I don't think the SDK has any samples on DirectSound anymore (I couldn't find it), so you may have to hunt for something on the web.
Alternatively you can use OpenAL (download OpenAL11CoreSDK), which runs on Windows, Linux (use openal-soft), Mac, and iOS. The API is fairly easy and you can get sounds up and running I think far quicker than setting up a DirectX project. Just avoid using "alut". It was supposed to further simplify OpenAL, but it hasn't been maintained.