Any ideas of how to make it? I think the Background Music Component For Delphi is a excellent choice, but damn, I can't find it anywhere to download, even a trial.. the homepage is down and all the download sites are using the original download link (homepage).
You can create a Thread and play using windows media player interface.
or
You can add MP3 as a resource and use components like audio lab to play, to do that in background, you can create a thread.
Mediaplayer does the job. However, there are old machines that don't have it installed, and you'll never know what version is going to appear, so you don't know if it's going to work everywhere.
If you just want to play a chiptune, you might want to try BassMod. It plays XM, IT, S3M, MOD, MTM and UMX, and has an example Delphi project.
BassMod page : http://www.un4seen.com/bassmod.html
BassMod download: http://www.un4seen.com/download.php?bassmod20
There's also a component that seems to wrap the full Bass Audio Library. I haven't used this one yet, but the demo looks really cool: It's a delphi application that loads Winamp plugins (visualization, input, dsp) and has an equalizer, echo and reverb. It plays AAC, MP1, MP2, MP3, Ogg Vorbis, AIFF, WMA.
TBASSPlayer 201 Download: http://www.torry.net/vcl/mmedia/audio/TBASSPlayer201.zip
I'm off to play with this now.. :)
Oh, you do need external dll's here, and you still need to check how to play something from an embedded resource. In the worst case you can just extract your stuff before playing it.