It depends on the context: (a) “That band has some good easy listening music”; or (b) “I am listening to that band’s music.”
Both are fine. Though in both cases, listening is the -ing form of the verb listen, in (a) listening is more of an adjective than a verb and in (b) it is a part of the verb complex am listening.
For simple verbal use, “I listen the music” would be ungrammatical, and the correction would be “I listen to the music.” But! In an intransitive sentence the to goes away: “I listen carefully” is good and “I listen to carefully” would be bad.
