uses
 MMSystem;

procedure SendMCICommand(Cmd: string);
var
 RetVal: Integer;
 ErrMsg: array[0..254] of char;
begin
 RetVal := mciSendString(PChar(Cmd), nil, 0, 0);
 if RetVal <> 0 then
 begin
 {get message for returned value}
 mciGetErrorString(RetVal, ErrMsg, 255);
 MessageDlg(StrPas(ErrMsg), mtError, [mbOK], 0);
 end;
end;

procedure TForm1.Button1Click(Sender: TObject);
begin
 SendMCICommand('open waveaudio shareable');
 SendMCICommand('play "C:\xyz\BackgroundMusic.wav"');
 SendMCICommand('play "C:\xyz\AnotherMusic.wav"');
 SendMCICommand('close waveaudio');
end;