This indeed possible and very easy to do ;-)
I downloaded mpg123.exe (a open-source MP3 command line player and a free mp3 alert.
I copied MPG123.exe , it's dll file and the alarm.mp3 to the harddisk off our central console pc.
Then, on alert I play the following script on that pc:
Execute File - (Continue on Fail)
Parameter 1 : c:\alarm\mpg123.exe
Parameter 2 : c:\alarm\alarm.mp3
Parameter 3 : 0
OS Type : 0