Any time you use any works that are not your own, you need to provide a citation. Citation shows the work you have done, strengthens and supports your argument, allows your audience to trace the original item for follow up, and differentiates your original ideas from the work of others.
How to cite music in APA style:
Name of music creator, A. A. (Year of creation). Title of music [Audio file] Retrieved from http://.....
How to cite music in MLA style:
Name of music creator, A. A. Title of music. Date of creation. File Type.