There is the Audio object in the DirectX.AudioViedoPlayback.dll, that you
can use.
However there is an article here:
http://www.codeproject.com/cs/media/DirectX9_media_playback.asp
That recommends you don't use it, it recommends you use MediaPlayer instead.
Personally I dislike MediaPlayer more than the DirectX object (although,
i'll admit, it has been a bit of bastard).
I found that media player was a bit inconsistent with it's event firing and
I think the object "smells" a bit which are the reasons why I decided not to
use it (I don't know if other people have had greater success though... so I
could well be wrong.).
There are methods that play .wav files in the API, although I guess this
means you'd have to convert from .mp3 to .wav if you want to play .mp3s,
which is possibly quite intensive.
If it's a simple app then i'd recommend using the DirectX object, anything
larger and i'd recommend you do further research and come to your own
conclusions about which is the better object to use.
Jax