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The problem is not so difficult. You should include {$R MySoundRes.RES} line to the implementation section. And for playing wav sound you must use the PlaySound procedure.
There is a 'SOUND' section which contents a musical file in the resource file.

{$R MySoundRes.RES}
{$R *.DFM}

procedure TForm1.Button1Click(Sender: TObject);
begin
  PlaySound('SOUND', 0, SND_RESOURCE);
end;

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