This start GUI won't work?

local player = script.Parent.Parent
local gui = script.Parent
local sound = Instance.new("Sound", gui)
sound.SoundId = "http://www.roblox.com/asset/?id=221235033"
sound.Pitch = 1
sound.Volume = 0.7
local frame = gui.Frame
Play = script.Parent.Frame.Play
sound:play()

function OpenCloseGui()
    gui:Destroy () -- You did gui:remove() which is not right that is why it was not working.
end

Play.MouseButton1Down:connect(OpenCloseGui)

Hope this works. This should be working. :l i tried it or stuff thing else is wrong like your names of your gui.

Any output? There is only one problem I can see.

local player = script.Parent.Parent.Parent -- I think this pointed to PlayerGui rather than Player. I've added an extra parent. (if script.Parent is the GUI, then script.Parent.Parent is the PlayerGui)
local gui = script.Parent
local sound = Instance.new("Sound",gui)
sound.SoundId = "http://www.roblox.com/asset/?id=221235033"
sound.Pitch = 1
sound.Volume = 0.7
local frame = gui.Frame
Play = script.Parent.Frame.Play 
sound:play()

function OpenCloseGui()
    gui:Destroy() -- use :Destroy()
end

Play.MouseButton1Down:connect(OpenCloseGui)

Miswritten Hierarchy and Common Errors:

One of the worst things to experince while programming is miswritting your hierarchy, Be-sure to always double check your hierarchy.

Corrections:

In your script you declared your player variable to script.Parent.Parent and the variable gui is script.Parent, So Obviously you are declaring the player variable to PlayerGui.

local player = game.Players.LocalPlayer
local gui = script.Parent
local sound = Instance.new("Sound",gui)
sound.SoundId = "http://www.roblox.com/asset/?id=221235033"
sound.Pitch = 1
sound.Volume = 0.7
local frame = gui.Frame
Play = script.Parent.Frame.Play
sound:play()

function OpenCloseGui()
    gui:Destroy() 
end

Play.MouseButton1Down:connect(OpenCloseGui)

Additional Definitions:

Many roblox programmers recommend the Destroy method if you are planing to totally dispatch the object and never have it return back to it's previous parent. Also Using script.Parent.Parent.Parent -- etc in a defined variable can cause Confusion and Give you bad programming Habits.