DirectSound itself doesn't support any external files, it only provides access to wave output devices on system, but DirectMusic plays midi and wav files directly - through it's loader object. DirectMusic supports also sgt and sgp files (DirectMusic native file format), those files are a bit like midi but they can also contain samples for instruments so it's a bit like mod or xms.

You can even play MP3,OGG or any format as long as appropriate audio compression codec is installed and file has standard RIFF header which identificates which codec DirectMusic should use.