I used AltanaView to find where the sound files were located. (I could have just clicked around in the POL folder. It's pretty obvious where they're stored).
I used a little google-fu and I used Ximc (Final Fantasy XI Music Converter) to change the sound files to playable .wav files.
The Ximc program can be found here:
http://burger.sandwich.net/XIMC.zip
You'll probably want to read this FAQ to get an idea of how to use it. It's very simple, but in Japanese so glance over this guide. It's very old, but so is this game and the basics still work.
http://www.gamefaqs.com/pc/555735-final-fantasy-xi/faqs/30728
There are thousands of sounds in the sound effect folders, but the following one has all the common ones from clicking around in menus and such.
C:\Program Files\PlayOnline\SquareEnix\FINAL FANTASY XI\sound\win\se\se000
What I did was click the 2nd button under BGW -> WAV in the Ximc program and convert all files in the sound\win\se\se000 folder one-by-one and then listen to them with my media player.
Obviously back everything up (or at least that one music folder you're fooling around with) in an safe archive somewhere. They're small files in that folder so you should be okay on any system that can run XI.
Anyhoo, glad I could help.