I came across a short tutorial from the department of Acoustics, Audio and Video at the University of Salford in England.

Tutorials

• Virtual Environments with 3D graphics and 3D audio. 3 simple sections on getting graphics to the screen, playing normal and 3d sounds and capturing audio using Managed DirectX. Source code is provided and I would recommend downloading that rather than following the dangerous instructions on making your computer trust the entire domain.