Almost what z1m said, and more like what Mike said.
1. FILE > IMPORT and choose your sound file.
2. Right click on the time line and choose SOUND > Your Sound File. This will load your sound file into Maya's time line.
If you're animating to the music, you'll want to cut the music into different sections so you dont have to animate to the entire song. First of all, it's unnecessay, second, it could be rather hefty on the file sizes.
4. After you've completed all of your shots, import them along with the original music track into a package like After Effects (its what I use).
5. Load the music track and composite the shots accordingly to the music.
That's a simple version of it.
I have something similar on my website. It's an animated music video using the song Close to the Edit by Art of Noise.
Check it out here.
Its the last one at the bottom of the page.
Professor of Digital Arts
Digital Media Arts College
Boca Raton, Florida