If you are looking for playing wave files, I know one way to play it from memory using playsound:
//Play our sound
PlaySound( (const char *)soundData, NULL, SND_MEMORY);
Where "soundData" is your .wav file converted to C array buffer, something like this:
static unsigned char soundData[] = {
0x00,0x50,0x00,0x20,0x00,0x78,0x00,0x20,0x00,.....
...
...
};