There are a number of perl functions to help. tr/_/ / will transliterate underscore to space. s/(\w+)/ucfirst $1/eg will give initial caps. opendir/readdir, glob, or <pathglob> will produce a list of files to work on. Finally, rename will do the job.

# Assumes no non-mp3 regular files in the dir
use File::Basename;
for (glob('/path/to/*')) {
    -f or next;    # don't mess with directories, etc
    my ($file,$dir,$ext) = fileparse($_,qr/\.[^.]+$/);
    $file =~ tr/_/ /;
    $file =~ s/(\w+)/ucfirst $1/eg;
    rename $_, $dir.$file.'.mp3' or warn 'Failed to rename ',$_,': ',$
+!;
}
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Untested, but it's pretty straightforward. I do underscore transliteration first, because underscore is a \w character and would interfere with uppercasing the way I do it. File::Basename is in the standard distribution. The regex in fileparse() is used to select what counts as a filename extension. I made it everything from the last dot to the end. Alter to taste.

Update: Added warning for failed rename. Fixed pasteo.

After Compline,
Zaxo