SCAP - Simple Calculator Audio Player
Download this package, extract (by 7zip or winrar) and copy extracted file to SD card. Create demo.wav - convert some of your favorite music to wav format, use settings: PCM,22050 Hz,8 bit,mono. If you use Disk Writer plugin from Winamp, following image may help you:
Store demo.wav to the SD card too. Put this SD card to your fx-9860G SD calculator and install SCAP.G1A as usual and run. Connect any headphones with 2.5mm stereo jack (or use adapter) to the calculator's COM connector.