If you mean you want to play instruments to improve the effect of your skills and combat arts you just equip the instrument and when you use a skill the animation will display with the instrument you have equipped.
If you're talking about the recreational music system built into the game, it's a bit more complicated. A detailed description of the recreational music system can be found here:
http://forums.lotro.com/forumdisplay.php?f=108
(the link is to the music playing forum on the official site)