more tips:
you dont get experience when 'improvising'. So if you're doing a musical performance, and you dont have players for all the instruments needed, some have to simulate the instrument, but it doesn't give you experience. This seems reasonable. But! it also does not give you experience when you Do play an instrument, while others in the performance dont/are simulating. Seems a bug to me.
So if you are planning on playing more complex musical pieces, consider taking some companions, having the needed instrument, so you can play all together and gaining experience.
Also, when starting, first do some research on the musical forms. you can do this using legends mode, or by making a test-adventurer. Look for what forms are available and which instruments you need, so you know what to pick as your startting equipment.
When traveling to other cilivisations, they have other instruments and so on. But one instrument is shared among all civilisations: singing and chanting :-). So if you want to use an universal usable instrument, pick your voice. I think its also easier to find musical forms, which only need a singer or chanter, so getting experience is easier.
You can collect other insturments in other civilisations, but you cant play them, unless you learn a musical formin which these instruments are used. I dont know if you can learn new musical forms.
Elves have natural better musical skill, so you might want to pick an elf as musician.
certain skills (I think the musical-named-one) are only improved by composing and not by performing. stupid.