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unit Unit1;

interface

uses
  Windows, Messages, SysUtils, Variants, Classes, Graphics, Controls, Forms,
  Dialogs, StdCtrls, MPlayer, MMSystem;

type
  TForm1 = class(TForm)
    MediaPlayer1: TMediaPlayer;
    Button1: TButton;
    procedure Button1Click(Sender: TObject);
  private
    { Private declarations }
  public
    { Public declarations }
  end;

var
  Form1: TForm1;

implementation

{$R *.dfm}

procedure TForm1.Button1Click(Sender: TObject);
begin
  MediaPlayer1.Play;
end;

end.					

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 MediaPlayer1.open;
 MediaPlayer1.Play;					

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 ...
 mediaplayer.filename:= 'DerDateiname';
 mediaplayer.open;
 mediaplayer.play; //oder halt nicht :)
 ...