Whoever told you to edit music.dta directly was pretty stupid. You should only listen for information from us. We are the official SRB2 community, and we know everything about the game.
To make a WAD file:
Right-click in an empty spot. Go to New, then Text Document. Take the .txt extension and rename it to .wad.
Then, open the new WAD file in XWE. Go to the Entry menu, and select Load. Select the MP3 or OGG file you want to use, and open it.
Name the new lump. For maps, use the name O_MAPxxM, where xx is the number of the level. There are also special names for the song lumps used in places like the Title Screen and Invincibility. Some of their names are:
O_TITLES
O_SUPERS
O_LCLEAR
O_DROWN
There are more. Explore the music.dta file yourself (but don't modify it!). That way you'll get to see all the lump names.