Ah ! Good you told us that !
What you have downloaded are not the <img src="/ubbthreads/images/graemlins/div.gif" alt="" /> music files themelves, but a program that extracts them out of the <img src="/ubbthreads/images/graemlins/div.gif" alt="" /> game itself !
And since you need to store the extracede files somewhere (you cannot put them into the void <img src="/ubbthreads/images/graemlins/delight.gif" alt="" /> ) you mist give the program the patch to store the music files.
C: ist your hard disk inside your computer. If this confuses you, I suggest that you read the windows help files about file management.
You can specify a path like for example C:\divinity
I don't know if the program expects this path to exists, if so, then you must make a new directory called "divinity" on your first hard disk (called C:) , thus creating the path "C:\divinity". You can do this by using the so-called "windows explorer", the program dedicated to file management. If you don't know how to use it, I suggest that you read the help file(s) of the so-called "explorer" first.
Somewhere here at Larian there should be a link where you can download the music files themselves, but that's a *big* package.
A few last word about that "music extractor" you have seemingly downloaded : The music files it extracts out of thegame are in a Format called .OGG . OGG is the music formatfor "Ogg Vorbis" files. You'll need a player that can play these .OGG files. You can try Winamp, for example, if the so-called "windows media player" cannot play them.