XAudio2 (and XACT3) can only play a limited subset of WMA files which we've called 'xWMA'.  They have to be generated by the WmaEncode.exe tool we provide (or will provide) in the DXSDK/XDK.  They typically use the .XWM extension.  To play them in XAudio2 you just create a source voice with the format extracted from the XWM file, then call SubmitSourceBuffer with two arguments: the first is a regular XAUDIO2_BUFFER structure, and the second is a XAUDIO2_BUFFER_WMA structure extracted from the XWM file's 'dpds' RIFF chunk.

Let me know if you need more details...

Dugan Porter [MS]
Game Audio Team