First off, if you're not using DirectShow .NET (DirectShowLib), get that here: It serves as a (very complete) interface between unmanaged DirectShow and C#
What follows is a pretty simple example of how to play an audio file, to the desired audio device
using DirectShowLib;
private IGraphBuilder m_objFilterGraph = null;
private IBasicAudio m_objBasicAudio = null;
private IMediaControl m_objMediaControl = null;
private void playAudioToDevice(string fName, int devIndex)
{
object source = null;
DsDevice[] devices;
devices = DsDevice.GetDevicesOfCat(FilterCategory.AudioRendererCategory);
DsDevice device = (DsDevice)devices[devIndex];
Guid iid = typeof(IBaseFilter).GUID;
device.Mon.BindToObject(null, null, ref iid, out source);
m_objFilterGraph = (IGraphBuilder)new FilterGraph();
m_objFilterGraph.AddFilter((IBaseFilter)source, "Audio Render");
m_objFilterGraph.RenderFile(fName, "");
m_objBasicAudio = m_objFilterGraph as IBasicAudio;
m_objMediaControl = m_objFilterGraph as IMediaControl;
m_objMediaControl.Run();
}