right click on start button > properties > Start Menu > customize > then decide there how you want the downloads folder to display its content, ie link or menu.
is that what you were trying to do?
however if you are just simply trying to drop the Downloads folder inside the Music folder then: go into explorer find the Downloads folder in the left pane right click it send a short cut to the desktop then grab that shortcut with your mouse drag it down and hover over the start button. start menu will open then just go to Music folder and drop it inside.