In this blog post, Matthias Shapiro discusses what to do if you have a sound file that you want to be included when downloading your WP7 app and be played even if the user is listening to music.
Source: Designer Silverlight
First, grab the audio you want to add to the application and, if it’s not already a .wav file, make it so. [...]
When prepping your audio, keep in mind if you want the user to hear it over their music. If so, make sure it is LOUD.