A little question here: Do you put the disc in when you start playing?

That's might be what's wrong.

Well, here are some troubleshooters:

To listen to your own User Tracks, you have to copy the mp3 file and right click>paste shortcut into the My Documents/My GTA SA User Files/User Tracks

To listen to them in the game, you can only hear it on the User-Track Radio - This is only available with vehicles with radios, of course.. Emergency vehicles DO NOT have radios.

To set your radio channel to "User Track", Go to the Pause Menu>Options>Audio. Select the "User Track". There is also a User Track Scan option.. This scans for new songs in your "User Tracks" folder in your My Documents.

If you still require help, please contact me. :D