1. Go to C:\Nexon\Combat Arms\Game\BGM (May not be the same for you, but you should get the idea)
2. Replace WAITINGROOM_LOOP.mp3 with your song (It HAS to be renamed to WAITINGROOM_LOOP.mp3 or it won't work) to change the lobby music
3. Login and listen. (I have Fort Minor - Remember the Name as mine :P)