When i m in the windows environment i see them in a file called my music
Mmm...that's a folder (or directory if you prefer) and not a file. I can see you're not too experienced with Window$ too.
Anyway, your music files are probably on another partition (HD maybe) and it's not mounted as long as locate didn't find them.
Issue 'mount' at the command prompt and see if the partition your music files belongs to is listed. Note that in Linux you don't have 'C:', 'D:', etc., but hda1,hda2...,hdb1,hdb2, depending on how is your HD(s) partitioned.
Maybe post back the results of mount.