Software to hardware
First you move your mouse. Most mice now in days works using a laser, the laser is able to tell it's moving over a surface, inside the mouse the data from the laser is being turned into digital signals, that are then sent through the cord or through Bluetooth or whatever system you use to the computer. The computer meanwhile is expecting to get signals like these, it's constantly checking to see if it's gotten a new signal from the mouse, and when it does it knows how to interpret those signals to move the pointer on your screen.

Now you click on an icon, and that is then the mouse sending a different signal for a click or double click, the computer registers the click and then figures out what do to handle the click, since your mouse was above an icon, lets say a music file you have sitting on your desktop, it knows to try and open or run that file.

To determine what exactly it means to open or run the file it may look at a few different things, you may have some settings for that file that you've set which tell it how to open, but more generally it goes based on the extension. Let's say it's a .mp3 file, well you probably have a default music player app, and the computer knows to open that app and gives it some information about the file you clicked, I'm not sure on the format, but it probably gives it the name and location of the file you clicked on. The music player app now takes that file and assuming it's correctly formatted as an mp3 then it will know how to read the data in the file, and it will parse through that data and start to send messages back to the operating system telling it to output sound.

The OS now will send data about what sound needs to be played to whatever the default or current audio device you have, lets say they are speakers. The speakers will receive these signals and know what sort of sounds to put out, and then they have components in them that can vibrate in different ways, and they are told how to vibrate by the singles that were sent and thus sound is emitted.