Learn Italian: Ascoltano la musica in questa stanza. - They are listening to music in this room.

In Italian, the verb ascoltare means "to listen to." The "to" is already built into the verb, so you just say Ascoltano la musica (literally "They listen the music") without adding any extra prepositions.

Why is it la musica and not just musica?

In English, we drop the word "the" when talking about general activities like "listening to music." In Italian, you usually need the definite article (il, la, etc.) before a noun, even when speaking generally.

Where is the word for "they" in this sentence?

It is built into the verb! The -ano ending on ascoltano tells us that the subject is "they" (loro). In Italian, you can leave subject pronouns out unless you want to add special emphasis.

If I wanted to ask what they are listening to, how would I use che cosa?

You would put the question word before the verb: Che cosa ascoltano? Notice that because ascoltare already means "to listen to", you do not need a word for "to" at the end of the Italian question like you do in English.

How would I ask where this is happening using dove?