For the music:
In an NXP fileWhen building your NXP, make sure the music is in the *LEFT* dialog box here. You can add it using the "Add" button. (Don't worry about the box on the right for now, that's for more-advanced situations.)
If playing as a single levelCreate a "music" folder in the same folder as NeoLemmix.exe (if it doesn't already exist), and place the music file in there.
If you still can't get it to work, please come on
the #NeoLemmix IRC channel sometime and hopefully someone who can help you is online. (I'm online at the moment, not sure how long I'll be on for.) It may be easier to solve this via chatroom communication than forum posts.