Because there is an undefinined reference to PlaySoundA. Do a MSDN search for PlaySound(), and down in the fine print down at the bottom of the function description you'll find listed the required import library winmm.lib. So you need to do whatever it is that you have to do with whatever development environment you are using to add a reference to that library. Then, you won't have an 'undefined reference to PlaySound@12'.
How would I play music files, with Dev bloodshed compiler, without downloading anything or changing anything, maybe including a built in library though? Just trust me when I say I have no other options for now.