Just did it like this:
Create a playlist using your favorite playlist editor
In a game, his ESC to bring up the options panel
Make sure that Music is ON under Sound Options
On the right-hand side, under MESSAGE OPTIONS make sure that User Defined PlayList is ON
The Load Play List button should appear in the center column
Press this button, and input the path to your playlist in the Current Playlist Directory dialog box. Be sure to use the full path for the directory, but not the filename. ie: C:\mymusicfiles\mp3\
Press the set button and a list of playlists in that directory should appear.
This is where things got a little bit wonky for me. I highlighted the playlist I wanted to use and pressed load. Nothing happened except the dialog box closed. I pressed Load Play List again and selected the Default playlist. THEN my playlist started. I'm not sure how to bring back the original game music at this point, perhaps by deleting my customized playlist.
Anyhow, good luck.