Umm... I might be reviving an old thread but... but it was on the first page!

Anyway, looks like most people forget that *.wav format file can hold more than only uncompressed data. And this combined with the fact, that acm mp3 codec is with us since Win95 times, allows us to create an mp3 resource player with a line of code!
Code:
mmSystem.PlaySound(PCHAR(ResourceID), hInstance, SND_RESOURCE);
Just don't forget to add a RIFF header to the mp3 before adding it to the application.

Sure it's hacky and inflexible like hell, but gets the job done really fast..

Hope this helps