Yeah, if it's commercial I think you do, a quick google crops up http://mp3licensing.com/royalty/ - I think its only once you sell 3000 copies or something though. And after that, 75c per unit isn't a big deal if you're commercial.
Its probably because construct is open source. What they gon' do?
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Plus in the end i think windows media player handles the actual playing of the mp3 (not sure about that).
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The Play MP3 action uses Directshow, which is the same thing Windows Media Player uses to play MP3s.