1. client_connect() is called while the client is still connecting. Playing the sound 3 seconds after this doesn't guarantee that he is in the server and can hear the sound. It's best to use client_putinserver() for this which is called when the client enters the game.
2. You defined your path as "sound/misc/welcome.wav" but you're playing "welcome.wav" which defaults to the "sound" folder. You're not using the "szWelcome" variable there.