Yes, I believe you are doing something wrong.
You need to have the music files stored on and SD card. Insert the card.
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From the opening screen, choose the Apps button.
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On the next page scroll down until you get to the Media Player and select it.
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Once you get to the media player, select the source by clicking on the upper left corner with the cords icon.
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On the next page select "MP3", and then Save.
Depending on the number and size of music files, it may take some time for the Zumo to read all the files.
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Once you've completed the above steps, you won't need to do them again.
Go back to your map screen.
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In the lower right there is the menu selection. It appears as three lines. Select that.
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Choose media player, and you will see a dialogue screen on the that will allow you to play, stop or skip songs.
You can X out of this dialogue to maximize the GPS screen, and the music will continue to play.
You can re-open the media player by selecting it from the menu in the map screen.
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Each time you restart the GPS, you'll need to hit the play icon to restart the music.
This worked for me. I hope it's helpful to you