What if I don't want my music on the cloud?
Android uses a so-called Media Scanner to index your media files (this also applies to your images and videos). This Media Scanner ships with the system, and fires automatically on certain system events -- such as after boot, or when you insert your SD-Card. It does, however, not react on a simple "file-drop" via network. For such cases, it might need a little help to get to know it has to act:


Rescan Media
Rescan SD Card!


Are two free example apps from the playstore which do exactly that: trigger the Media Scanner. Once the Media Scanner has indexed your new files, they will immediately show up in the corresponding apps such as the gallery (for images/videos) or your music player.