Error C2039 '_InterlockedIncrement': is not a member of 'FWindowsPlatformAtomics' C:\Program Files\Epic Games\UE_4.18\Engine\Source\Runtime\MediaUtils\Public\MediaSampleQueue.h 150
Ok I think I figured out my issue. First you do need to create an AActor, place it in the level, and add the MediaSoundComponent. With this I was getting errors trying to include MediaSoundComponent.h however I found it was only in one file.
Tracked down the error to when I include <windows.h>/<stdio.h> which I was using to get drive paths. I’ll now have to find out how to do that.