You can also have a different song in each level. To accomplish this, place a triggerzone over the palyers start position (the green arrow). Let the AI scripts Main point to repeatsound.fpi and in the Sound) you select the song for your level.
Do this at each level and they all will have their own song. You may want to erase the song at the global script. The global script you can access through the file menu >>>> build game >>> level settings >>> global script edit >>> general music >>> erase the line behind music or if you want only one song in your whole game, add your song their.
In the same build game menu you can also change songs for loading levels and title screen and so on.
By the way..... before starting to ask a ton of different questions, may I suggest you read the manual, it's really helpful and would will you tell you about the build game menu, how to use triggerzones, place stuff in your levels and many other useful tips.