大変、邪道なやり方です。以下のやりかたでどうにかできると思うのですが・・・
実際はOnNewDocumentの時にCreteFileterGraphをするはずなのですが・・・。
あとDirectMediaを入れなければ以下のコードをコンパイル使用としてもエラーがでます。
DirectMediaは以下のURLから探してください
http://www.microsoft.com/japan/directx/default.asp

使用変数関数一覧
HANDLE m_hGraphNotifyEvent;
IGraphBuilder *m_pGraph;
BOOL CreateFilterGraph();
void DeleteFilterGraph();
BOOL LoadMp3File(LPSTR FileName);
CHAR Mp3LoadFileName[_MAX_PATH];
INT NowMp3Play;
BOOL CheckStopMp3File();
BOOL StopMp3File();


//初期化
CDwDoc::CDwDoc()
{
      m_pGraph=NULL;
      m_hGraphNotifyEvent=NULL;
      lpThisDoc=this;
      Mp3LoadFileName[0]='\0';
      NowMp3Play=0;
      CreateFilterGraph();
}

//消す
CDwDoc::~CDwDoc()
{
      DeleteFilterGraph();
}

//Active Movieの初期化？？
BOOL CDwDoc::CreateFilterGraph()
{
    HRESULT hr;// return code
    ASSERT(m_pGraph == NULL);

    hr = CoCreateInstance(CLSID_FilterGraph, // get this documents graph object
                          NULL,
                          CLSCTX_INPROC_SERVER,
                          IID_IGraphBuilder,
                          (void **) &m_pGraph);
    if(FAILED(hr))
    {
        m_pGraph = NULL;
        return FALSE;
    }

    IMediaEvent *pME;
    hr = m_pGraph->QueryInterface(IID_IMediaEvent, (void **) &pME);
    if (FAILED(hr))
    {
         DeleteFilterGraph();
         return FALSE;
    }

    hr = pME->GetEventHandle((OAEVENT*) &m_hGraphNotifyEvent);
    pME->Release();
    if (FAILED(hr))
    {
         DeleteFilterGraph();
         return FALSE;
    }
    return TRUE;
}

void CDwDoc::DeleteFilterGraph()
{
     if(m_pGraph!=NULL)
     {
         m_pGraph->Release();
         m_pGraph = NULL;
     }
}

//再生開始
BOOL CDwDoc::LoadMp3File(LPSTR FileName)
{
    if(strlen(FileName)==0)
    {
         return FALSE;
    }
    DeleteFilterGraph();
    if(!CreateFilterGraph())
    {
        return FALSE;
    }

    HRESULT    hr;
    WCHAR      wPath[MAX_PATH];
     MultiByteToWideChar( CP_ACP, 0, FileName,-1, wPath, MAX_PATH );
     hr=m_pGraph->RenderFile(wPath, NULL);
     if (FAILED(hr) )
     {
           return FALSE;
     }
     IMediaControl *pMC;
     hr = m_pGraph->QueryInterface(IID_IMediaControl, (void **) &pMC);
     if( SUCCEEDED(hr) )
     {
          IMediaPosition * pMP;
          hr = m_pGraph->QueryInterface(IID_IMediaPosition, (void**) &pMP);
          if (SUCCEEDED(hr))
          {
                REFTIME tCurrent, tLength;
                hr = pMP->get_Duration(&tLength);
                if(SUCCEEDED(hr))
                {
                    hr = pMP->get_CurrentPosition(&tCurrent);
                    if (SUCCEEDED(hr))
                    {
                         if((tLength - tCurrent) < 1)
                         {
                             pMP->put_CurrentPosition(0);
                         }
                    }
                }
                pMP->Release();
           }
           hr = pMC->Run();
           pMC->Release();
           if( SUCCEEDED(hr) )
           {
               NowMp3Play=1;
               return TRUE;
           }
    }
    return FALSE;
}

//停止状態のチェック
BOOL CDwDoc::CheckStopMp3File()
{
    if(!NowMp3Play)
    {
        return TRUE;
    }
    IMediaEvent *pME;
    long lEventCode, lParam1, lParam2;
    if( SUCCEEDED(m_pGraph->QueryInterface(IID_IMediaEvent, (void **) &pME)))
    {
        if( SUCCEEDED(pME->GetEvent(&lEventCode, &lParam1, &lParam2, 0)))
        {
             HRESULT hrTmp = pME->FreeEventParams(lEventCode, lParam1, lParam2);
             ASSERT(SUCCEEDED(hrTmp));
             if (lEventCode == EC_COMPLETE)
             {
                  StopMp3File();
                  NowMp3Play=0;
                  return TRUE;
             }
             else if((lEventCode==EC_ERRORABORT)||(lEventCode == EC_USERABORT))
             {
                  StopMp3File();
                  NowMp3Play=0;
                  return TRUE;
            }
        }
        pME->Release();
    }
    return FALSE;
}

//演奏の停止
BOOL CDwDoc::StopMp3File()
{
    HRESULT hr;
    if(!NowMp3Play) return TRUE;
    IMediaControl *pMC;
    hr = m_pGraph->QueryInterface(IID_IMediaControl, (void **) &pMC);
    if( SUCCEEDED(hr) )
    {
        pMC->Stop();
        pMC->Release();
        NowMp3Play=0;
        return TRUE;
    }
    return TRUE;
}