I don't know if this was posted yet, but if you want to change the BGM when entering the menu, all you have to do is:
1) Go to Script Editor and click on "Scene_Menu" (should be located underneath Scenes)
2) Right underneath line 40, type in
Audio.bgm_play("Audio/BGM/<insert name of song>", 100, 100)
And there you go. Simple as that.
Screenshot included. Take a look.