internal static extern int waveInOpen(out IntPtr t, uint id, WaveFormatEx pwfx, IntPtr dwCallback, int dwInstance, int fdwOpen);

private static extern MMSYSERR waveOutOpen(ref IntPtr phwo, uint uDeviceID, ref WAVEFORMATEX pwfx, uint dwCallback, uint dwInstance, uint fdwOpen );

private static extern Wave.MMSYSERR waveOutOpen(ref IntPtr phwo, uint uDeviceID, Wave.WAVEFORMATEX pwfx, IntPtr dwCallback, uint dwInstance, uint fdwOpen);

Wave.WAVEFORMATEX pwfx => ref WAVEFORMATEX pwfx // reference pointer rather than the format struct.

I kept getting the System.NotSupportedException when I tried to follow the MSDN recommended approach of passing the struct to the waveOutOpen rather than the ref. (If you downloaded the Pinvoke sample library, it was called WaveOut.cs located here: C:\Program Files\.NET Compact Framework Samples\PInvoke Library\Code\CS). Going through their sample program, it looks like they read in the wav file, get the header information using a binary read, then pass the binary data to the waveOutOpen. They never use the WAVEFORMATEX struct to open the wavOutOpen.

            WAVEFORMATEX testFormat = new WAVEFORMATEX();    

            ref WAVEFORMATEX pwfx,

        public unsafe struct WAVEFORMATEX

    public struct WaveFormatExtensible

<StructLayout(LayoutKind.Sequential, pack:=1)> Public Structure WAVEFORMATEXTENSIBLE

    Dim Format As WAVEFORMATEX

<StructLayout(LayoutKind.Sequential, pack:=1)> Public Structure WAVEFORMATEXTENSIBLE

    Dim Format As WAVEFORMATEX

public static extern uint waveOutOpen(ref IntPtr hWaveOut, IntPtr uDeviceID, ref WAVEFORMATEX lpFormat, delegateWaveOutProc dwCallback, IntPtr dwInstance, uint dwFlags);

'Support for WAVEFORMATEX

Declare Function waveOutOpen Lib "winmm.dll" Alias "waveOutOpen" (ByRef phwi As IntPtr, ByVal uDeviceID As IntPtr, ByRef pwfx As WAVEFORMATEX, ByVal dwCallback As IntPtr, ByVal dwCallbackInstance As IntPtr, ByVal fdwOpen As WAVE_FLAGS) As MMSYSERR

'Support for WAVEFORMATEXTENSIBLE

Declare Function waveOutOpen Lib "winmm.dll" Alias "waveOutOpen" (ByRef phwi As IntPtr, ByVal uDeviceID As IntPtr, ByRef pwfx As WAVEFORMATEXTENSIBLE, ByVal dwCallback As IntPtr, ByVal dwCallbackInstance As IntPtr, ByVal fdwOpen As WAVE_FLAGS) As MMSYSERR

static extern int AVIStreamReadFormat(IntPtr pavi, int lPos, out WAVEFORMATEX lpFormat, out int lpcbFormat);

static extern int AVIStreamReadFormat(IntPtr pavi, int lPos, out WAVEFORMATEX lpFormat, out int lpcbFormat);