If you'd like, you can set MameWah up to play music in the background while scrolling through menus. It's in the regular menus, you just have to set up your Mp3 folder and thats that.
If you mean more like a jukebox, I believe you need a seperate piece of software. I know someone here mentioned it a few days ago, so take a look around recent threads. Otherwise, I'm sure someone will mention it. I think it was WinCab or some such? It's an mp3 player you can launch through MameWah. There may be other options too, although I won't be much help seeing as I have never used them. Hope this helps a bit though.