On the PlayStation 3 (PS3), music stored on the hard drive can be played during live gameplay by accessing the PlayStation menu while in the game. This only works for the games that do not have an in-game menu accessible with the PlayStation button.
The PS3 offers simultaneous audio playback and gameplay. This feature is available on many PlayStation, PlayStation 2, and PlayStation 3 games. However, some games do not support it, and Sony's PlayStation support does not have a list of compatible games.
Load the game to play first. Then, access the downloaded music on the hard drive by pressing the PS button. Scroll down to the music folder and hit X. Choose which music to play and hit X. The music will start to play, and the menu should disappear to allow the player to resume gameplay.