FMOD. It's actually built into the engine, and is platform independant.
tho with win32 you need a dll, with other os's you get other support files.
it plays ogg, winamp over your directx sound channels. it will attempt to use the next-available channel, up to 255 before it just errors out and prints a warning on the console.
If you are using another app that uses fmod they will play nicely with each other, with winamp its fine. one thing I did notice was residual/remnants of the last thing played with fmod (probably me not cleaning up whatever was loaded into directx memory) when you fire up another directx app (you hear like 1msec of whatever was last played then it's normal).