Five ways to play an MP3 in a windows application:
1. Use a library like you mentioned.
2. Add the windows media control into your project (wmp.dll), and play them via that method.
3. (Little bit of a hack) Use the WebBrowser control, and use some html that references a flash file.
4. Write a program that uses the Lame decoder (or similar) and buffer audio to the sound card, though this technically is using a library.
5. Write your own decoder processing everything yourself, then buffer the audio to the sound card.
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Please note I have ordered them in reccomend order, using a library means you usually have more control over what is going on, without having to code everything yourself, Although as always, it does depend on what your requirements are.
For an excellent library, I would reccomend bass24, it has the ability to play many audio formats, and now has a .Net version.
Aimee.