You should be able to find the storage device on the Xbox dash board. ( If your playing a game, press the round button on the controler, then Y. Or just don't insert a disk ) From there you should be able to play it.
That's where I just looked to. I've been googling for a while and All I came up with is that the ONLY way you can do it (unoffically) is to take off your Hard drive and specially hook it up to your PC so it's like an external. ><
And then there's special things you need to buy to do this. So I'm out of luck at the moment.
Was hoping to be able to listen to some heavy metal while playing oblivion...Hardcore. XD
BTW, go to dashboard, media centre, Music, then you should see something like " X- Change music source" You can put that on USB and then select the music whilst playing.