newbie confounded by hooking up GP2 sensor and MP3

Well first, the mp3 shield!:

Take a look at the links on the left for more information
http://www.ladyada.net/make/waveshield/

Now, for your sharp sensor, there's a couple things you're going to want to get a simple grasp of, first, the map function, to make sure the readings of the sharp, stay within a certain range.
And also in this link, is going to be the SwitchCase function, what it does, depending on what value the example gets, it maps it down into 4 values.

This tutorial should help alot, and then the MP3 part is all up to you! (I have no experience with the shield:P)

But best of luck, hope these help:)