Make sure in Preferences, that under the Display Order tab, that under Emulator Display Order that MP3 Jukebox is in that list. It is located at the very bottom of my list, also verify that you are putting the .exe file in the right Emulator Configuration. Also, what version of MA are you using?
Also, try this. Select MP3 Jukebox in the Emulator Configuration tab, and then under Executable location, select your windows media player, to see if we can get it to show up. Usually it is under C:\program files\windows media player. Once you have the .exe selected, hit close in the bottom right corner and then when it reboots, select no and see if MP3 Jukebox shows.