You mean transfer songs? No, there's no way to do that. The best you can do is turn off music in a game and play a CD in the background, like i do when i play PC games. But i guess that's better because they come from the same speaker.
I got some songs from some of my games by pluging the audio from my PS2 into the audio input on the back of my PC. All I had to do was use a $3 adapter from Radio Shack and turn all of the sound down except for the music. Also try looking around on the game discs in windows explorer. I found the music from a couple of my games on the discs in .wav format.