"File" NOT "App"... can't be opened because it is from an unidentified developer
I have two guesses:


It is an application masked as an mp3 file. Yes, you should not open it.
Mac OS X gives warnings "blabla downloaded from internet" for anything, not just apps downoaded from Internet. If you are sure the file is fine, play it back.


By the way, mp3 files must be able to play back by just quick previewing them (Space bar).