that's a massive assumption you're making there....
as far as I'm aware - exploits using mp3's are similar to the ones using image files that you asked about in July last year.
as an mp3 is just a file format (
http://en.wikipedia.org/wiki/Mp3#File_structure /
http://www.mpgedit.org/mpgedit/mpeg_format/MP3Format.html) the mp3 would have to exploit a specific buffer overflow or some other vulnerability in order to start executing. I remember something like this happening in winamp a while back, but havn't heard anything recently about this being possible in any popular mp3 players.
you can open the mp3 in a hex editor to see what's in it. if you think it contains exploit code then you can look at it in a dissassembler or do any number of system level reversing tricks in a virtual machine.