Whilst terms such as "My Music", "My Documents", "My Pictures" Windows uses (and sort of forces it on to it's users) can be very handy, it is also one of the least understood features for many less savvy Windows users.
Often after explaining it as good as possible, more than once , many Windows users will just not get the concept of it.
But you came to the right place ;-)
You should see those items as only names for a virtual library.
By default they will refer to (at least) one folder on your computer, to be found on your C: drive under a folder named after your username. (always try to remember that your windows computer is basically all about files, folders and their locations)
You can have several folders containing similar content at different locations or drives, and bring them together in that virtual "My Music" library.
Then the advantage of that is when you open "My Music", you will see all your music that resides in all the folders combined on your computer that have been added to your "My music" library.
The drawback of that is that from there, it is far from obvious where all those files are located on your computer.
That is the part that makes this concept very difficult for many to grasp, and leads to much confusion and even errors.
For your specific quest, for now my advice is to completely forget about this "My Music" stuff, and try to find and organize your music files in folders and locations of your choice. Preferably bringing all that together in one main folder, and working with sub folders from there.
When doing that, you will probably run into the issue of duplicate files.
That is another topic, for which you can surely find advice when you search the internet or this forum.
And: Be sure to have back-ups of your important files before you start working on this!