To play custom *.wav file, please click on "Actions" tab while editing the alarm, then choose "Run Script" as post alarm action and specify batch file which will play your wav file. You may also try to specify wav file directly instead of triggering it from the batch file (might work).
As regards services monitoring, then currently it is not possible to set alarms on services state, but thanks for the feedback.
BTW - how would you like to monitor services on Citrix server? Do you want to base your alarms on services state like "Stopped", "Running" etc.?