No.. As far as I know, delphiX can only play wav (maybe also aiff or something simiair). The sound components in DirectX are primarily used to play sound-effects and not music. I think it is better to seek a seperate sollution for music playback.

The simplest sollution would be to drop a MediaPlayer on your form and play it with that. It's easy, doesn't require a lot of code, and it supports a few nice formats. If you want to do it all by yourself, it would require you to decode your MP3 file and that is quite tedious. If you want to go this way, this will become handy. Just google for some pascal headers and you should be able to use it.

Slightly easier (if you want to do it yourself), is to pick the Ogg vorbis format and implement that. Check this and the corresponding headers

Hope this was helpfull.