Нашел в Readme игры вот такое описание:
User Radio Files
GRAND THEFT AUTO: San Andreas can support the playback of the users own audio files. By default the game ships with support for Windows Wave files (WAV) and Ogg Vorbis (OGG) files. Additionally, with the correct CODECS installed to your computer, you can playback MP3, WMA, M4A, etc. To facilitate playback of these formats you can -
Install the latest Apple QuickTime Player
or
Install Microsoft Windows Media Player 9 OR 10
or
Install a combined CODEC package
Только как этим воспользовать так и не понял...