How can I have a song play in the background of my program ?
C++ by itself does not assume you have a monitor, or fancy graphics. You need a third-party library that can work with your OS to do this.

If you know C++, SFML is a nice simple, multi-platform library that can play audio.

SDL is another alternative (written in C, compatible with C++), but I have not used it.

You can try that out, or if you just want it on a console on Windows, check this out
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