You'd need a sound card (cheapest you can get, like this one):http://www.newegg.com/Product/Product.aspx?Item=N82E16829180005
And 3.5mm cable:http://www.newegg.com/Product/Product.aspx?Item=N82E16882678013
Next, you insert the card into one of your friends PC (or your own), and connect blue and green outputs of the card together with the new cable. Then turn on the PC, right click on skype shortcut, add " /secondary" to the target, so it looks like this:
"C:\Program Files (x86)\Skype\Phone\Skype.exe" /secondary
Then, launch it, and create an a skype account just for music playing. Then log in, go into Tools->Options, audio settings and on microphone select "Line-in". On speakers reduce the sound to zero. Press OK. Now, open your music player, and select audio device of the card you just bought. Lastly, make a conference call with one another and include the secondary skype account in it. Now, when you launch music, everyone can hear it.