First off I take no credit for this what so ever I just found it!
Express:
1) Make a folder named "BGM" then make another folder inside named "bgm"
2) Find your music and put it in the "BGM" folder (any format, you'll be changing it later)
3) Download an ".OGG" converter (I'll place a link at the bottom of the tutorial)
4) Download an MRS unpacker/packer (link at bottom)
5) Put the MRS.exe and zlib.dll in the "BGM" folder
6) Convert your files to ".OGG" format
7) Rename them accordingly (ill put the names at the bottom of the tutorial as well)
Use the MRS unpacker/packer to pack the folder and make your
customized BGM (I'll put up a tutorial on how to use a MRS
unpacker/packer, just search "Khanna" to find it)
9) Place your new bgm.mrs into your GunZ sound folder
10) Enjoy and have fun
Heres the detailed tutorial if you couldnt figure it out with the Express version:
Step one: Download a ".OGG" Converter as this is what the bgm files are saved as. I put a Link at the bottom of this tutorial.
Step two: Make a folder on your Desktop named "BGM" and then inside,
make another one, but this time named "bgm" in lower case letters, no
real significance, its just to distinguish between hte two.
Step three: Find and download 10(only 10) songs you want to have in your
BGM and put them in the "bgm" folder. (Not "BGM" but "bgm") I would
STRONGLY suggest them all being ".mp3" format, but they can be pretty
much be any type you like.
Step four

ownload an MRS Unpacker/Packer (at the bottom of the
tutorial) and put the contents into the "BGM" (Not "bgm") folder, which
should be MRS.exe and zlib.dll
Step five:Use the ".OGG" formatter i put at the bottom of this tutorial
and convert all your files to ".OGG" format. Again i highly suggest
them all being ".mp3"
Step six: once the files are all converted, you must change their names
(For reasons i dont understand, maybe its just the way the game reads
them.) I Included the names at the bottom of this tutorial.
Step seven: Now its time to pack everything! After you have renamed
your song files, back out so that your in the "BGM" folder where your
mrs.exe and zlib.dll files are. Create a new tex document, and name it
anything you like. (I'd suggest bgm, as it would be most suited).
Step eight: Next, open up your text document. Type in "mrs.exe c bgm"
and then save it as a ".bat" file. (you do this by typing ".bat" after
your texts name, in this case, if you took my suggestions, it would be
"bgm.bat")
Step nine: A new file will show up in your "BGM" folder. It will say
whatever you typed in as your text name, but the type will be a "BATCH"
type (if you used my suggestions, it should say bgm, and be a "BATCH"
file). Click on it.
Step ten: now yet another file will pop up, but this time named (if,
once again, you used my suggestions) "bgm.mrs" Just move that to the
sound folder inside of your GunZ folder, and then launch your game, if
you did everything correctly, your music will play in your game.
Song Titles;
Login theme: El-tracaz.ogg
Finishing Song: Fin.ogg
Lobby Theme: HardBgm3.ogg
In-Game Songs;:
HardBgm(D).ogg
HardCore(D).ogg
HardTech(D).ogg
Industrial technolism.ogg
Intro Retake2(D-R).ogg
Ryswick style.ogg
Theme Rock(D).ogg
Downloads:
.OGG Converter:
http://www.ogg-converter.com/oggsetup.exe
MRS Unpacker/Packer:
RapidShare: Easy Filehosting