At the sound room highlight 'Exit' and then press R + L + Select + Start + Up. When unlocked you can do different things to the CDs you've collected. They can be made faster or slower, the pitch of the song can be altered and you can toggle between different colored CDs.
There are different types of princesses, there are two that I know of. One is where you get all of the treasures. Another is where you miss around two. There may be more, but that's all I got at the moment.