You are not infected, but you obviously have something configured to play the song. May likely be a third-party application you've downloaded and installed.
Helpful Links Regarding Malware Protection
An excellent link to read is Tom Reed's Mac Malware Guide.
Also, visit The XLab FAQs and read Detecting and avoiding malware and spyware.
See these Apple articles:
If you require anti-virus protection I recommend using ClamXav.