This side mission starts automatically after finding any one music player. You may stumble to them by accident (especially during the last part of Bean’s mission). You can buy a map to reveal the location of these music players from your Cartography Facility after upgrading it.
You don’t need to actively find these collectibles so you can just save the effort for finding them later in the game. Finding all music players will unlock the Audiophile trophy. You can refer to the video compilation below (no particular order) or to the individual locations listed below.
Inside the underground bunker.
Behind a locked door. You have to find the key or pick the lock if you have the Lock Picking Perk purchased.
Stashed underground. Break the wooden cover to reach it.
Behind a locked door. You have to find the key or pick the lock if you have the Lock Picking Perk purchased.
Inside the underground bunker.
This is due east of Deadgas Crossing. You have to drop down by the riverbank and look for the grappling point above the shelter’s window. Pull yourself up to grab the goods inside.
Enter the cave and look up the cavern’s ceiling. Hook up to the grappling point there then pull yourself up to reach the ledge where this music player is located.
Behind the locked door, inside a bathroom. Kick the boards to reach it.
Inside the overturned train car. Kick the boards blocking the opening to reach it.