I found this program. It lets you convert wav file audio if its first been renamed to have file extension PCM (it requires uncompressed 16bit wav file with a sample rate of either 8000, 11025, or 16000 samples per second; and can work with stereo or mono wav files) and will convert them to mpa format (Music Player Advance). Then load the mpa files into the program and export a Gameboy Advance rom that is a media player which has the audio data for all the desired songs embeded in it. Run it in a Gameboy Advance emulator and use the up and down buttons to select the song and "A" button to play the song and "B" button to stop the playing so you can select a different song.
I'm posting a zip file here with 3 sample GBA Music Player roms (each containing music I find just SO AWESOME, from various games and animes).