The way humans perceive music and its effect on emotion is an interesting topic and one that is not very well understood. When humans hear music it turns on regions of the brain that are required to "hear" sound. It has also been found that music can turn on areas of the brain connected with emotion. So perhaps while you are perceiving music, you are also stimulating your brain to feel an emotion. People also have a tendency to connect certain music to a certain feeling. Perhaps a song they heard when they found out their dog died can stir up sadness when the person hears that song again. The opposite is true too ... perhaps a song that you and your mom sing together may remind you of her and the emotions you feel for her.

Hee hee - GOOD question!
Unfortunately I can't think of any plausible explanation that's easy to test scientifically. I can speculate that music is an extension of speech, being auditory, and we humans are adapted to liking to talk. However, why, or how, humans can actually feel pleasure at *anything* is a mystery that science just cannot explain. As far as science can tell, we're just bags of chemicals - but how can a chemical reaction feel happy? Well, we can.