If you follow this link........
http://newwiki.arcadecontrols.com/index.php?title=Mala_JukeBox You will see that the jukebox can only play MP3 format and specifically says no WAV or WMA.
Once you have all your music put it in a folder on desktop so its easy to find. Right click to bring up the mala menu pick sounds then tell it the path. Once that is done follow these steps to allow background music while gaming.
1. Open MaLa
2. Right-click and select "Options / Configuration"
3. Click on the "GUI" tab
4. Within the "GUI" tab click on the "Game Start/Quit" tab
5. Uncheck "Pause background music on game start"
[Updated link to point to the new wiki instead of the old one -- Scott]