From HBO's official website, here is the complete song list from Episode One of Season One, "The Sopranos" AKA "The Pilot Episode". I am not sure which song is being played in the scene you're talking about, but maybe this list will help you figure it out.

Song 01
Funky Green Dogs: FIRED UP!

Song 02
Dion & The Belmonts: I WONDER WHY

Song 03
Booker T & The MG's : CAN'T BE STILL

Song 04
Sting: I'M SO HAPPY I CAN'T STOP CRYING

Song 05
The Elegants : LITTLE STAR

Song 06
Joan Osborne : LUMINA

Song 07
Annie Lennox : NO MORE I LOVE YOU'S

Song 08
Link Wray : RUMBLE

Song 09
Shirley & Company: SHAME, SHAME, SHAME

Song 10
Madredeus: TARDES DE BOLONHA

Song 11
Jefferson Airplane: THE OTHER SIDE OF THIS LIFE

Song 12
Land of the Loops: WELCOME (BACK)

Song 13
Morcheeba: WHO CAN YOU TRUST?

Song 14
Connie Francis: WHO'S SORRY NOW


"Keep your body strong, your blood clean, and your mind sharp and mean." Henry Rollins