2) You should only include {$R *.res} in your source code and you'll be able to choose Icon from the project options

1) You can use playsound() API function to play external wave or wave which is build in your resource file. Problem is that you cannot build-in wave into the resource file; it is possible to do this with VC++

3) Yes, there are many such installers. One is InnoSetup (I can't remember if it is free), you can also check out http://clickteam.com for theis installer. If you search the web (http://download.com is perfect) for Install maker you'll find many pretty freeware programs