Jukebox

The Jukebox can be entered anywhere from the game by pressing Ctrl+F5. In the window that opens, there will be a list of all available soundtracks and the one currently being played.
Ctrl+F6 plays the previous soundtrack.
Ctrl+F7 stops the resumes the current soundtrack.
Ctrl+F8 plays the next soundtrack.

You can add your own soundtracks in platinum/data/sounds/music. These must be in .ogg (Ogg/Vorbis) format.
You can convert soundtracks from .wav and .mp3 to .ogg format using Audacity, which is available for Windows and Mac free of charge.

The Jukebox also appears on the bottom right of the pause menu screen, so you can access it from there as well.