For all your music and other buying needs from the USA,UK etc... the solution for us expats in Dubai is simple.
It's called Shop'n'Ship by Aramex. What they have is two things:
1. You pay $35 one time for LIFE no renewal fees, and get two addresses in your name, one in the US and one in the UK.
Anything shipped to these two addresses will automatically be couriered to you to dubai for the prices of:
$8 for first 0.5 kg
$5.50 for every other 0.5 kg
2. Aramex also partnered up with MasterCard for a Web surfer card which is a prepaid CreditCard that you keep putting money into. You can use this on any site that accepts MasterCard even if it says only US,UK etc... and it will be more secure since you decide the amount inside the card.
The price for this is an annual membership of $19
For more details check out =
http://www.aramex.com/shopandship
Cheers,
D