http://bugs.winehq.org/show_bug.cgi?id=10791
--- Comment #3 from Kelly Miller lightsolphoenix@gmail.com 2008-05-09 03:57:39 --- More info from RPG Maker XP's site:
"MID MIDI files played via the DirectMusic Synthesizer. If a BGM MIDI file contains the control change value 111, that value is recognized as where the song will start repeating after it reaches the end."
It appears that the cause of the no music bug is the lack of support for the DirectMusic Synthesizer (which I believe is known, but doesn't have an official bug assigned to it). I'll create one if necessary.
BTW, the title of the bug should be changed; RMXP DOES play sounds; however, they have to be in Ogg format. I haven't tested MP3 or WMA, but I can confirm that Oggs work and MIDI's do not (due to the problem mentioned above). However, seeing as MP3 and WMA both rely on DirectMusic, there's a good chance they won't work either.