You have to make an ogg-vorbis file (*.ogg).
If you need a program to convert wave formats to ogg I suggest Audacity. That's the one I use to do that. (You can also use Freestudio converter)
Then you cut and paste this *.ogg to your music folder of UT2004.
Now when you open the map in the editor, you open the level properties by right-clicking on an empty place in top, front or side view.
In the Levelproperties window you'll see a section called Audio.
Open this one and there is a Song option.
Enter your song name (name of the file but without that ".ogg"/without the file ending).
With MusicVolumeOverride you can adjust how loud the song should play (default -1. -1 is the best option imo).
Now you have music in your map.
But if you publish a map don't forget to add the music file to your archive! without a music file no music will be played in-game.