A music file is just a music file. Asking if you can get spyware from it is like asking if you can get pummeled by a piano. Sure, if someone drops the piano on you it'll hurt -- but just by playing the piano (and, likewise, just by playing the music file), no spyware can be installed.

However, if you download executables or other 'active' things, then you run the risk of installing whatever that program installs.