Yes you can.

* You can retrieve what key the user pressed with pascal.
* Yes, if it's plane windows forms. I don't know it SDL has an dll, otherwise you can compile it inside your exe.
* Yes, you could use package/zip files or compile it as resource inside your .exe or have an installer.
* You could try to use a sound lib that you can distribute with your game. I know DirectX is installed on most windows pc. If you want to go cross platform, you could use FMOD (dll) or something)