Start by listening. You don’t have to listen all the way through, but do give yourself some time to really listen. Close your eyes, if you’re comfortable doing so, put on your headphones, and listen. Allow yourself to really feel the music and immerse yourself in what you’re hearing. Once you’re ready, start writing.
If you’re having trouble coming up with a story, start by writing a list of words the music makes you think of. Is it calming, energetic, creepy? Does it make you think of a specific place, person, or genre? What type of person can you imagine listening to this kind of music?
Remember: Even if all you come up with for now is a description, keep it and come back to it later. If your muse is like mine then it most likely enjoys giving you puzzle pieces that need to be fit together over time rather than the whole story all at once. You never know what will connect your pieces together, so don’t trash something just because it doesn’t seem to go anywhere right away.