Use this way:
Uri uri = Uri.parse(Environment.getExternalStorageDirectory()+"/mymusic/thebomb.mp3");
musicPlayer.setDataSource(uri);
Add permission to your manifest.xml file.
<uses-permission android:name="android.permission.WRITE_EXTERNAL_STORAGE" />
<uses-permission android:name="android.permission.READ_EXTERNAL_STORAGE" />