But, if you want to not use iTunes or any other program..
You could always go into your Combat Arms folder. Look for a folder called Game. Go into that, and look for another folder called BGM. In that folder, there should be two music files. Copy and paste the music you want in there, and rename it to one of the original music file names. Eg: Change "Smoke on the Water" to "WAITINGROOM_LOOP"