If you downloaded some music from an online store you may find that it won’t play on your computer, especially if you bought it on a Windows or Mac OS computer and then copied it over.
This could be because the music is in a format that is not recognized by your computer. To be able to play a song you need to have support for the right audio formats installed — for example, if you want to play MP3 files, you need MP3 support installed. If you don’t have support for a given audio format, you should see a message telling you so when you try to play a song. The message should also provide instructions for how to install support for that format so that you can play it.
If you do have support installed for the song’s audio format but still can’t play it, the song might be copy protected (also known as being DRM restricted). DRM is a way of restricting who can play a song and on what devices they can play it. The company that sold the song to you is in control of this, not you. If a music file has DRM restrictions, you will probably not be able to play it — you generally need special software from the vendor to play DRM restricted files, but this software is often not supported on Linux.
You can learn more about DRM from the Electronic Frontier Foundation.