This is actually not needed now!
I've modified the site lately in prevision of mGalaxy v2.1 release...and that's why you can already see this requirement!
This version will indeed allow .mp3/.wav files to be played in background (this is in top 1 request since mGalaxy exists!) while navigating in mGalaxy.
Windows Media Player is included in Windows 7 (v12 I think), so Windows XP users only will have to install it (if not already done). Anyway mGalaxy will work, even with the media player not installed...but without background music, of course.