It backs up the areas you tell it to. If your music files are on an external disk, Mozy isn’t gonna find ‘em automatically. You’ll need to customize the directory selection.

BTW, depending on your internet connection, you’ll be lucky if Mozy is able to get 3.5GB of backup done in 24 hours. If, for example, you want to back up say, oh, 70GB of files, and your internet upload speed is limited to less than 100Kbps, it could literally take weeks and weeks.