You are using the Application runtime, you should be using DirectX9 runtime for game and such, probably audio too... I'm not sure what you want to come up with. Most plugins are made for DirectX9 runtime. But I don't think this is related to your problem.
The problem is that "Load from resource" and "autoplay from resource" only works for .wav files. You can play your .ogg as music, but if you want sound effects, convert them to .wav first.