If you have XP Media Center and you’ve installed the proper software you can stream music directly from your PC with the ethernet cable, or you can plug in an MP3 player and listen from it.
Probably the easiest thing to do is just rip a CD onto your 360 hard drive assuming you have one of course.
Then tap, do not hold down, the dashboard button (the one with the lights around it) and you should find the music player stuff.