1. You have to download the AI computer players. You can find them by clicking on the "AI/Game Script Settings" button, then "Check Online Content". You can also look in the OpenTTD AI and Game Script
forum for downloads that may not be in the online content system yet, and you can manually place them in the appropriate folders.
2. You cannot load MP3 music files into OpenTTD. Your music options are MIDI files which have been programmed to play in OpenTTD. There are many music sets you can listen to, available by clicking the "Check Online Content" and type in "music" in the search box. Or, continue to use your favorite MP3 software on your computer and listen as you normally do.