There is a folder 'Files' with the resources in Construct, and sounds placed there can be played using Xaudio2 through the action 'Autoplay Resource' - it's very convenient!
But 'Mod' object doesn't have action 'Autoplay Resource'.. And therefore the question: how to play 'XM' format that he would be in the .exe (included in its resources) rather than in a separate folder in the game?
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Doubt you can, you can't even play .OGG that way yet!