No, you don't need to. Please try the following:

Code:
var handle;
handle = media_play("moonlight.mid",null,100);
if (media_playing(handle) != 0)
{
   error("The file is playing but cant be heard.");
}


If that doesn't work check your direct sound capabilities with dxdiag.exe.

Always learn from history, to be sure you make the same mistakes again...