No, I did not. I will try that now and post back in about 5 minutes to tell you if it worked or not. Please don't leave.
EDIT: I am trying to get the song on MTA not the actually game btw. Just in case that changes anything
I have the tracks in my Mydocuments/GTA San Andreas User Files/user track folder...but it still doesn't work. Can some one please show me step by step how to play my own music on the User Track Player radio station?