Record any music using a mixer. For example, record your little brother playing "Ode to Joy" on the piano, or play your favorite CD and record it with a microphone connected to a mixer. You can also record birds singing, the sound of the ocean, or anything you want to listen to.
In a quiet, preferably sound-proof room, whisper your message into the microphone, and record it on a different track in the mixer. For example, if you are trying to give up smoking, whisper "stop smoking" or "smoking is disgusting and you want to stop it right now" repeatedly.
Mix the two tracks together. Keep the message at a much lower decibel than the music. It is not necessary for the listener to consciously hear the sound; on the contrary, subliminal therapists play the message so quietly under the music that patients are not consciously aware of it.