You really should try reading stickies before posting, you'll get your answer faster if you look for yourself first.
Anyway, here's what the FAQ says:
10. How do I play mp3's in the game?
Go to your ESF directory/mp3 and use the playlist editor excecutable to load mp3's into your playlist and save this as playlist.txt in the same directory. Now press F8 in the game to birng up the MP3 menu. (You can also use HLamp, but this means running winamp in the background.)