The easiest way for us to help you "fix" this is for you to include an example page bearing the "link" to the file (or at least the url you are using) that we can test, but my best guess that (since you say you placed it "in the root directory) that you just have it in a directory that is not web accessible.
The "root" directory, usually something like /home/yourusername, and any directories below it except "whatever.com" (or whatever you named the dir(s) when you added a domain(s)) will not be browsable. This is where your ftp client initially places you when you connect.
To be able to reach the file with a browser, put it in your "web root" or "web base" directory, or some directory below that one, like /home/yourusername/yourdomainname.tld/file.mp3 or /home/yourusername/yourdomainname.tld/music/file.mp3. You can tell what this directory is (or even change it if you wish) by looking at the Control Panel -> Domains -> Manage Domains screen, and clicking the "edit" button on the right side of the screen adjacent to the name of the domain.