I'm sorry, you were so right. If I delete the external mp3 file there's no sound. Any clue about integrating it in the exe file?
To integrate sounds into the game, go to the resources tab on the right side of the screen. Then, rightclick on binary, click addfile, and select the sound you want to add. Now all you have to do to play it is use the "Autoplay resource" action under the DirectSound object. Hope that helps.