it could contain anything i can agree to that (any rar or zip etc could, thats why winmx has the warning for downloading those but i download lots of these password protected rars and zips on a different network
if it plays as an mp3 it 's probably what you thought it was ( separate tracks and maybe the cover included, also there could be some files containing info about some forum or group to join like .txt .info files)
now alot of these files have the password in the title, often a forum url (at least the ones i downloaded in the past), maybe there also some password finder for zip files but i m not sure about all that
there 's no way to know before you open it if it is dangerous unless a virus checker sees whats inside but if it plays as an .mp3 i think it contains mp3, if there are other files in there (like an exe or something) too i would start getting suspicious and carefull ... most of all not curious
probably the winmx user did not know what to do with it either but just shared it because it played, at least thats what i think