Yes, it was precisely this problem, about which I wrote at the very beginning, and that I solved it later, and I forgot to mention about it ...
I do not know how about you, but in my game it appeared when sound was playing by setting this system event:
<img src="http://i725.photobucket.com/albums/ww251/bodziostawski/system.jpg" border="0" />
So, as the normal system event worked bad, I decided to use an object "XAudio2". I set the action:
On collision between <object> and <another object> (because I wanted to hear sound in such a situation)
===> 1)XAudio2: Load file "abc.wav" to channel 1 (no loop)
2)XAudio2: play channel 1
And that's all. In my game it works fine. :)
PS: wybacz, ze po angielsku, ale moze to innym tez sie przydac :)