Program.exe is a "generic" message that Windows sometimes uses when it does not have a proper file association for a specfic file type that you are trying to open. This often happens with .zip files; but since you say this is a music file, I'm thinking that Windows is looking for an audio file association.
You really need to tell us what the file type is that you are trying to run. For example if it is a audiocd or cda file, the default association might be cdplayer; but this sometimes gets changed and if the media player that it was changed to gets removed, then you get that error message.
What "media players" do you have installed? If you have Windows Media Player, version 7 or higher I believe, just open it, go to Tools > Options > File Types, and click "Select All"