It works exactly the same as in PES 2009, you can search for it on the forums.
A quick guide:
First of all take an usb device and create the folder MUSIC, copy all your songs into the MUSIC folder.
On your ps3 you should create a playlist called KONAMI_PES.
Insert your device into your ps3 then copy all music to the KONAMI_PES playlist folder.
In pes 2010, you should go to Gallery and then to Playlist editor, when you press R1 once you should see the "user library" which contains all songs you copied onto your ps3, and from there you can add all songs to the sections you want.