there's many ways to go about it. If you want a non-sectarian guide, I'd recommend a book by Matthieu Ricard: "Happiness: a guide to developing life's most important skill." Nearly every chapter ends with a new meditation exercise. Though written by a Frenchman turned Buddhist monk, he's not going to foist off any of his beliefs onto you, except maybe that the human race could stand a bit less selfishness. (I know, that's anathema on these forums!) If you're from a monotheistic background and would like to deepen that experience, specify what sort and I can make some other recommendations.
To the question of "does it work?" I would have to say that you get out of it almost precisely what you are willing to put in (that includes researching it upfront rather than expecting it to "just happen").
Walking & listening to music doesn't sound like meditation. And I hope you don't actually achieve anything even remotely like the very shallowest meditative state while driving. I have a friend who does that, and he has the traffic tickets (mostly for running stop signs) to prove it.
