Learn Russian: Это песня.

You can tell it is feminine because it ends in the letter -я. In the nominative form, which is the basic dictionary form you see here, almost all Russian nouns that end in -а or -я are feminine.

Since песня is feminine, why doesn't это change to match its gender?

When you use это to say "This is..." or "That is...", it acts as a fixed pointing word. It stays exactly as это regardless of whether the following noun is masculine, feminine, or neuter. You only match the noun's gender when "this" acts as a descriptive adjective, like if you wanted to say "this song" (эта песня).

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

Russian does not use a "to be" verb like "am", "is", or "are" in the present tense. You just put the two ideas side by side, so the sentence literally translates as "This song."

How do we say "a" song compared to "the" song?

Russian doesn't have articles like "a", "an", or "the". The single word песня handles all of these, so it can mean "song", "a song", or "the song" depending entirely on the context of your conversation.