Judging by your code, It looks like you are using a different version of windows media player than I am. You have to be running 2000 or higher I think in order to use WMP v9. Regardless, here is the code I used. All it does is extracts the resource file (the song) to the location of the executable. It then plays the song. I don't see what is so hard about it that you can't grasp. Like I said, I think you are using a different version of WMP.
'Declare a buffer to store the
'contents of the resource file
Dim strBuff As String
Dim strFile As String
'Create a temp file name
strFile = App.Path & "\MyTempSong.mp3"
'Extract the file from the resource file
strBuff = StrConv(LoadResData("SONG", "MP3"), vbUnicode)
'Save the string as a file
Open strFile For Output As #1
Print #1, strBuff
Close #1
Wmp.URL = App.Path & "\MyTempSong.mp3" ' load song
Wmp.Controls.play 'play the song
'Delete your temp file
'Kill strFile