There are loads of programs to convert binary files to source code so you can compile them in, in fact, there's code in my Melon CDI demo source for doing it.
Then you need to make your mp3 into a wav (just encapsulate it in a wav format, not actually convert it)
http://www.studiodust.com/riffmp3.html claims to be able to do that.
Then
sndPlaySound(pointer_to_sound, SND_MEMORY)
You will need to add winmm.lib to the project, I think that means including mmsystem.bi.
That might work.
Jim