You want to set-up the Logon script for your users. There are two ways as
http://www.petri.co.il/setting-up-logon-script-through-active-directory-users-computers-windows-server-2008.htm
http://www.petri.co.il/setting-up-logon-script-through-gpo-windows-server-2008.htm [Group policy]
I've used the first one but the second one seems more flexible
in your logon script, use the NET USE command to mount shared folders something like
NET USE M: \\fileservername\music_folder
obviously you want to make sure that your users have access to this folder [use groups to manage folders security, instead of assigning to individual users]
your script can add more logic for example to check if the shared folder has been mounted and so on.
hope this helps.