well, you can use the built in mp3 player, but you can only listen to your songs whilst driving.
step 1. put your mp3 files in the folder user track player i believe. it is in documents/gta user files/user track players.
step 2. load up gta and go to options> audio> radio> scan user tracks.
step 3. go inside a car, then switch the radio to user tracks. you should hear your music.