SDL Mixer plays MP3 and OGG Vorbis among others, you just need to make sure you have the correct dlls and units referenced. smpeg I think.

The JEDI-SDL examples in the JEDI-SDL folder will help a lot.

I got a lot of info for using SDL from the book Programming Linux Games by NoStarch press..http://www.nostarch.com/frameset.php?startat=plg

But there's nothing in there you can't glean from the SDL documentation on the libSDL site. http://www.libsdl.org/cgi/docwiki.cgi/SDL_5fmixer

OK, so it's all in C but it's easy to read.