EVE's in-game Jukebox is an odd beast. Hinting at a useful internal MP3 player, it has its quirks and falls short on some functionality.
After Dominion launched in December 2009, the following comments appear to apply to it - several are bugs:
- It may not remember its contents between sessions, and doesn't start with the ambient music automatically
- It may not start automatically when you load EVE, or continue playing after finishing a piece
- It does allow you to play your own MP3s after Dominion, yet gives you no browse button to go find them. Copy pasting in a path or existing playlist can help
- The "Open Playlist" option only appears if you right click the menu icon for the jukebox, not the jukebox window itself (see below)
Keeping that in mind, you may well be better off simply starting up an external MP3 player before loading EVE. They'll get along just fine, and you could even select a different audio device for your music that way if you've got a fancy setup.
So now you know, and can either bring back the awesome that is the in-game ambient music, or even add your own soundtrack. But remember! EVE has no sound.