There is no sample in Visual C++/Windows SDK that does both. However if you divide your question into two steps you can find samples for each. First is to load data from resources, and next is to play data as music in memory.
If you need sample code, try Google Code Search If you want to discuss audio programming, try a multimedia programming newsgroup like the DirectShow forum under the windows client development category or the microsoft.public.win32.programmer.directx.audio newsgroup.
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