Playing a music file depends on many factors, mostly where it is located and what type of file you want to play. Regarding the location, if it is in your account (hard disk) then you do not need to do anything special. If it is in a CD or a DVD you will have to mount the media; check the CD HOWTO or the DVD HOWTO for information about mounting disks. To play an audio CD (the "regular" CDs) you should not mount it; use xmms.
Once the files are available (either in the hard disk, or in /cdrom for CDs or /dvd for DVDs) you have to choose the program you want to use. Here are a few hints, but this list is not comprehensive: