The Music Library does, in fact, exist.
It is located in CFA 225, hidden between music faculty's offices and practice rooms. While the library doesn't have great selection or massive amounts of organization, what it does have can be referenced by all members of the Knox community.
Although much of the material, and CDs in particular, can't be checked out of the music library, many students bring in their laptops and rip CDs while in the library. This is a great way to increase your collection of classical music. It is also illegal.