{$R полное_имя_файла_с_ресурсом}

var
  WaveHandle: THandle;
  WavePointer: pointer;
...
  WaveHandle := FindResource(hInstance, 'MY_WAV', RT_RCDATA);
  if WaveHandle <> 0 then
  begin
    WaveHandle := LoadResource(hInstance, WaveHandle);
    if WaveHandle <> 0 then
    begin
      ;
      WavePointer := LockResource(WaveHandle);
      PlayResourceWave := sndPlaySound(WavePointer, snd_Memory or

        SND_ASYNC);
      UnlockResource(WaveHandle);
      FreeResource(WaveHandle);
    end;
  end;