Please list in detail the hardware and operating system you are using on your computer. It is different for Mac, WinXP, Win7, or Linux.
However, in a nutshell:
Music only plays audio files saved on the storage card of your phone, you must copy your audio files to the storage card before you open Music. Connect the -phone to your computer via USB and set it in Disk Drive mode. Copy music from your computer to the phone into a folder called "Music" (if it doesn't exist, create it).