Music plays the moment the login screen loads. Here's a few things to try:
1) Update to newest sound drivers.
2) If on Windows XP64, audio is disabled if you have realtek onboard audio. If you have realtek onboard audio, and Windows 7 64bit, and are running in XP compatibility mode, this might be your problem. Disable compatibility mode and see if that fixes the problem.
3) Make sure your volume and sound outputs are configured properly and everything is plugged in.