The line that calls the load function is TheSoundManager::Instance()->LoadSound("PlayerShot", "0", SOUND_SFX);
You need to learn about file extensions.
A basic text file isn't just called "Bob", it's called "Bob.txt"
A wav file isn't just called "PlayerShot" it's called "PlayerShot.wav"
Every file on your computer potentially has a file extension.
The extension actually just part of the filename, and they don't have to correct - you can rename PlayerShot.wav to PlayerShot.EggMcMuffin and it'll still load fine. The extensions are more of a hint to programs about what kind of data the file potentially contains. However, since it's part of the filename, you need to make sure you get the entire filename (including the extension) correct, for some programs.
Your "PlayerShot" file in your folders is actually named "PlayerShot.wav". The Windows operating systems (Vista, Win7, Win8, etc...) by default hides the file extensions to prevent less computer-savvy users from accidentally changing the extension and confusing programs trying to open them.
Programmers need to be able to see file extensions, because of the work we do, so you'll want to tell Windows to, from now on, show you file extensions to you can see the full name of your files. Here's how to do that.
There are other options as well, that you actually don't want to enable. Don't enable "Show hidden files, folders, and drives". It won't benefit you at the present time, and might cause problems if you accidentally do something wrong.
The filepaths are relative to your program's executable
"PlayerShot.wav" //It'll look in the same folder where your executable is.
"/Sounds/PlayerShot.wav" //It'll look for a 'Sounds' folder where the executable is, and then look for 'PlayerShot.wav' in that 'Sounds' folder.
"../Sounds/PlayerShot.wav" //Starting at the executable, it'll go back one folder, then look for the 'Sounds' folder, and then look for the PlayerShot.wav file.