How do I put music in the music player?
Watch one of K.K. performance on saturday evening. He will give you a CD which appears in your inventory as a note.
Then go to your stereo/jukebox/whatever can play music. When interacting with it, a menu pops up showing the list of song in it.
On the right, there is an "Add music" button. Click on it then select the song in your inventory.
The complete stereo list can be found here : http://animalcrossing.wikia.com/wiki/Stereo