Fallout New Vegas ships with most if not all of the tracks from Fallout 1 & 2, as well as it's own.
Most of the music installs to the Music folder in the FO:NV Data directory (I don't think you need to extract anything).
The default path is "%ProgramFiles%\Steam\steamapps\common\fallout new vegas\Data\Music"
or "%ProgramFiles(x86)%\Steam\steamapps\common\fallout new vegas\Data\Music"
Depending on your OS. (In your case Windows 7 of course.)
The quickest way to find it is to just right-click on any shortcut to the game (Fallout New Vegas), and choose Properties, then click the "Find Target" button. (or just enter a search for the 'SteamApps' folder to find all of your Steam games including FO:NV)
If you have the Fallout Mod Manager installed, it has the tool you need for extraction included with it, and can be run from the menu to extract what you want that is not in the Music folder. In FOMM, open the tools menu and run BSA Browser, Click the "Open" button, and navigate to the FO:NV data folder and open the "Fallout - Sound.bsa" archive.
If you bought the Steam download version, all those files are in .bsa files and you must extract them if you want to see the individual tracks or images/textures. I think if you bought the disc version, you can see them. Just not in the DL version.
Edit:the music (like for the radio) is viewable, but sound-effects/dialogues etc are what are in the .bsa's.