Hi, perun. The only information that XAudio2 needs/uses to play back audio is the audio format (expressed as a WAVEFORMATEX-based structure) and a pointer to the raw audio data. Therefore, XAudio2 does not operate on XACT wavebanks directly. However, if you have any kind of audio container file that includes multiple waves, you can certainly use it - just read out the appropriate piece of audio data yourself and set up a matching WAVEFORMATEX. In the WAVEBANKENTRY case, it's easy enough to map from its fields to the basic WAVEFORMATEX fields.
Hope that helps,
Dugan