Using Ken's wb (Nice! I don't recall seeing playing an embedded clip), and other than changing the path to the sound file, you code worked for me. If you want to 'flip a switch' once the code runs once, maybe try:
Private Sub Worksheet_Change(ByVal Target As Range)
Dim tf As Boolean, soundFile As String
If Not Application.Intersect(Target, Range("B4")) Is Nothing _
And Range("B4").Value > Range("G3").Value _
And Not Range("G2").Value = "ON" Then
Application.EnableEvents = False
Range("G2").Value = "ON"
Application.EnableEvents = True
soundFile = ThisWorkbook.Path & "\YesMaster.wav"
Call sndPlaySound32(soundFile, SND_LOOP Or SND_ASYNC)
If MsgBox("Kill that dang sound!", vbOKOnly Or vbQuestion) = vbOK Then
Call sndPlaySound32(0&, 1&)
End If
End If
End Sub