Blitz will look for the file in the same folder that your source file is at. If you haven't saved it yet, it will look in the "tmp" folder (at least in BlitzPlus -- I'm not sure about in Blitz3D). So either specify the full path (with drive letter), or a relative path from where the sourcecode file is.
Also, make sure you put a waitkey or notify or something at the end of the program so it doesn't terminate as soon as it starts loading/playing the music.
Also, make sure you put a waitkey or notify or something at the end of the program so it doesn't terminate as soon as it starts loading/playing the music.