mpglib decodes the mp3 to wav for you.
You just have to write a pcm buffer to store the decoded mp3 in.
Then checkout the DirectX SDK examples how to use callback functions to send a part of your pcm buffer to the DirectSound api.
mpglib decodes mp3's based on their type like 8bit 22kHz mono or 16bit 44.1kHz stereo.
You must convert the 8bit 22kHz mono to 16bit 44kHz stereo or recreate the directsound object to switch pcm output format.
Since you already know how to play wavs (pcm) this should be familiar, it's all about PCM
The DirectX SDK has PCM examples and mpglib just decodes the mp3 to PCM.
So write a unit that communicates with mpglib first and then the directsound unit.
mpglib -> buffer -> callback -> directsound
Just try one step at a time and if you can't get it working post the code that you are trying to get working and we can help