Now I know you've needed music in-game. Me too and I did find out how. Follow these steps 1-by-1:
1- Visit http://www.youtube.com/watch?v=ehZMQ9Q1Jko
2- Visit http://www.youtube-mp3.org ,copy http://www.youtube.com/watch?v=ehZMQ9Q1Jko and paste it in the box under the YoutubeMP3 logo (http://oi46.tinypic.com/2ikwrr6.jpg)
3- Click on Convert Video, Download, then wait.
4- Enter the Game, then to the mission you want to Play the music in, Mission Menu>Show MissionAudio Code, then at top-left corner it'll pop-up the code (ex: SD/%name%/xx.mp3)
5- Open My Documents/GTA San Andreas User Files/SD/ %type the name of the code which popped up%
6- xx.mp3 means Objective Numbers (01.mp3, 02.mp3, etc) Try to rename it to the Objective number; or you should rename the music instead of Age of Empires II - Age of Kings: Full in-game Soundtrack.mp3 to am.mp3 (am.mp3 means the entire mission) then put it into the coded folder
7- Run the mission, you'll find the music played.

Hope I helped.

Sincerely Yours,
Omar57844