i was looking around for that music thing and i might have found it. I have not tried it yet tho.
C:\Documents and Settings\Trever\My Documents\Rockstar Games\GTA IV\User Music
That looks like a place to put your own music in. Let me know if it works.
well i tried putting them in the
Users\Steve\AppDatazLocal\Rockstar Games\GTA IV\User Music
that the gamew created on install and no joy.
(Running Vista )