The Init function of the IWavePlayer does not seem to work well when used inside threads.
When it encounters a badwaveformat it destroys the thread. This still seems not to affect to main program thread, only additional threads created.
To handle this then you need another thread to check for the first one and create it again if Init has destroyed it. I know not, very elegant but a dirty hack.
Somehow the Init function seems a little bit busy cleaning things up :-)
Please answer if more clarification is needed or if you know what is going on.