In the Windows world, malware applications often masquerade as different files, like images, or music files. Maybe you've got something like that. It might be a file pretending to be a music file, but is really some application. In other words, your Mac doesn't trust this.
If this is music that you purchased from a legitimate site, like Amazon, then you should complain to them. Otherwise I'd recommend getting music from reputable and legal places, like your own CDs, iTunes store, Amazon.