Can you see the Windows drive from Ubuntu?
If yes, then you can see whatever changes you make in Windows, directly in Ubuntu.
You have to find the Windows music folder in nautilus and then Right click → Properties → Location. This is the "source" location, e.g. /media/Windows/Users/Nick/Music
Do you have anything in the Ubuntu music folder?
If yes, you need to move the contents to another folder, e.g. on Desktop
Now you need to find the path for the Ubuntu music folder. Do what we did on step 1. This is the "target" location, e.g. /home/nick/Music
The Ubuntu music folder should be empty by now, delete it
Open a terminal and write:ln -s "source" "target" substituting with the paths we found in steps 1 and 3, e.g. ln -s /media/Windows/Users/Nick/Music /home/nick/Music
If you had data in your Ubuntu music folder in step 2, you can now move them back to the new folder.