The Divine Divinity Music Extractor by BrainBox takes the large music file (sound.cmp, IIRC) from Divinity and splits it up into separate ogg files. You just need to tell it where to put these files; "c:\temp", "C:\My Documents\My Music" or wherever you want.

If you need something to play ogg files (a similar format to mp3, except open source), check out Zinf

You can also download some music in mp3 format;
Divine Divinity music
Merry Christmas and Happy New Year from Larian Studios!