No problems here with loading music. You are sure that your direct X is actually the right version? Theres a link off the DB pro compatibility boards for the correct latest version.
Also you do not need to use an absolute path to your media in DB. That is very limiting in that you need to put the files precisely at that location on every system it is run. The exe will assume you are in your root directory which is your exe's directory whenever you make a DB program. All you need to do is to load your media directly from there or specify a new folder or folders.
A simple way is set dir "media" for instance on any media you add in through the editor. If you need to change there are various ways, but I tend to stick with set dir ".." to go back a directory, you could probably use "cd\" as well. Rinse and repeat for new ones.
Or just use load image "media\a.bmp" etc.
Possibly you only used that to test your problem, but believe me DB always works from root directory, so that couldn't be a problem, unless you physically move only the exe to another folder.
http://s6.bitefight.org/c.php?uid=103081