I've had this problem before, and one of the times the answer was the first thing Pol mentioned; some MP3s are total dumps, and won't work in RMXP. What you should do is download the file from wherever you got it, and click on save file instead of open. Now where it says what the file is named, it will probably say blahblahblah.MP3, you should change it to blahblahblah.WAV.
If that doesn't work, than try getting the music somewhere else. Could you post the .MP3 here (or a link) so I could check it out or even reconfig/convert it for 'ya?
RSVP,
~Kiriashi~