On Myspace, generally you would go to an artist's space and add one of their songs to your profile. The artist has given permission for Myspace to use their songs as background.
On some people's profile you may see "This song has been deleted by the artist" as many artists will put some of their songs up for a limited time only. I know a few of the artists I like and have 'friended' put up their entire new albums for about a week before release, but after the album was out, they just dropped it back to 2 or 3 singles. It's good to be able to listen to the whole thing before going out and buying the album.
However, I won't deny that there's probably plenty of songs on Myspace that haven't been put there by the legitimate copyright holder, but that's not the problem of the user who just puts them on as a background....
From your point of view, I would suggest ensuring you do have permission to use whatever music you have as a background, or rather - don't use any at all, because I know it's a frickin' annoying thing, especially when you open several people's profiles in many tabs... I get four or five annoying pop songs of different genres blasting out my speakers and it's a pain to go through all the tabs trying to find the 'stop' buttons....