First, try reinstalling it. It may just not have installed properly by accident. Backup your score and replays if necessary. They're located in a strange place if you didn't do the thing with the bat file. In Windows 7 (or possibly any system, though I can't say for sure) they're at C:\Users\YourName\AppData\Roaming\ShanghaiAlice\th128
Also, if you didn't already, there is an unofficial 1.00a patch
here. You can read what it does at touhou wiki:
http://en.touhouwiki.net/wiki/Fairy_Wars/ToolsIt probably won't change the music thing but it's good to have.

Hope that helps!