KatManDEW:
First things first, your GVP '040 probably isn't fast enough for MP3's. My WarpEngine '040/40 can only play one or two MP3's (Low Bitrate, BTW) Even the '060 can't handle all MP3's (high bitrate, or VBR)
I assume you have the audio cable connected on the CD-ROM? I am not too familiar with the 2000, not sure if it has a connection for the CD's audio output, or not... If not, you'll need some sort of mixer, etc. OR, Asim CDFS which can play audio through the Amiga's built-in audio.
I have a suspicion that some of the apps. you tried don't need a sound card per se , but may need AHI installed. (Think of an RTG system for audio) For .wav's , Play16 does nicely (Aminet)
Maybe start off with something simple, DL a MOD player and some MODS... (You still may need AHI, though)