Cuando escucho esa canción, me dan ganas de bailar.

Because the verb agrees with ganas, which is plural.

• ganas = desires / urges
• so: dan = they give

The structure is literally something like:

• me = to me
• dan ganas de bailar = give the urge to dance

So ganas is the grammatical subject, not the song itself.

It is a very common Spanish expression meaning:

• I feel like...
• It makes me want to...
• It gives me the urge to...

So me dan ganas de bailar means that something causes you to feel like dancing.

It is slightly different from just quiero bailar.
Me dan ganas de bailar suggests a feeling that comes over you, often because of a situation, sound, memory, etc.

Me is an indirect object pronoun. It shows who gets the feeling.

• me dan ganas = it gives me the urge
• te dan ganas = it gives you the urge
• le dan ganas = it gives him/her the urge

So in this sentence, me tells us that I am the person who feels like dancing.

After ganas de, Spanish normally uses an infinitive to say what you feel like doing.

• ganas de bailar
• ganas de comer
• ganas de dormir

This works much like English feel like dancing/eating/sleeping, except Spanish uses de + infinitive.

Because the sentence describes a habitual or general situation:

• Whenever I listen to that song, I feel like dancing.

Spanish often uses the present tense for things that happen regularly or generally.

So:

• Cuando escucho esa canción... = whenever I listen to that song

It is not talking about one single future event.

No, not in this sentence.

Here, cuando refers to something real and habitual, so Spanish uses the indicative:

• Cuando escucho esa canción, me dan ganas de bailar.

You would use the subjunctive after cuando if you were talking about a future or not-yet-realised event:

• Cuando escuche esa canción, me darán ganas de bailar. = When I hear that song, I’ll feel like dancing.

So:

• habitual / known / repeated → indicative
• future / pending → subjunctive

Both are possible, but they are not exactly the same.

• oír = to hear
• escuchar = to listen

Escuchar often suggests more active attention, and with a song, it is very natural because in English we also often say listen to a song.

So escucho esa canción sounds very normal here.

Yes, but the nuance is different.

• Tengo ganas de bailar = I feel like dancing / I want to dance.
• Me dan ganas de bailar = something makes me feel like dancing.

In your sentence, the song is the trigger, so me dan ganas de bailar fits especially well.

Compare:

• Tengo ganas de bailar. = I’m in the mood to dance.
• Cuando escucho esa canción, me dan ganas de bailar. = That song puts me in the mood to dance.

Because ganas is normally used in the plural in this expression.

Spanish commonly says:

• tener ganas de
• dar ganas de

Even though English usually uses a singular idea like the urge or the desire, Spanish prefers ganas in the plural here.

So me dan gana de bailar would be incorrect.

That depends on what the speaker means.

• esta canción = this song
• esa canción = that song
• aquella canción = that song over there / that more distant song

In Spanish, demonstratives show distance or perspective more clearly than in English.

Here, esa canción usually means that song already mentioned, or a song not being presented as this one right here.

Yes. You could also say:

• Me dan ganas de bailar cuando escucho esa canción.

This means the same thing.

The difference is mostly about focus:

• Cuando escucho esa canción, me dan ganas de bailar.
  Focuses first on the situation.
• Me dan ganas de bailar cuando escucho esa canción.
  Focuses first on the feeling.

Both are natural.

It is very natural and standard here because the cuando clause comes first:

• Cuando escucho esa canción, me dan ganas de bailar.

The comma helps separate the introductory time clause from the main clause.

If you reverse the order, the comma is often omitted:

• Me dan ganas de bailar cuando escucho esa canción.

So yes, the comma is appropriate in the original sentence.

In this form, it most naturally means a repeated or general action:

• Whenever I hear/listen to that song, I feel like dancing.

If you wanted to refer to one specific past occasion, Spanish would usually use a past tense:

• Cuando escuché esa canción, me dieron ganas de bailar.

So the present-tense version strongly suggests a general pattern.