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The message "USB connection active" is shown when the device is plugged to PC in a synchronization mode and when trying to enter the Music menu. The Music player cannot be started in this situation. To start playing music, the USB connection must be unplugged.
This is normal situation when the device is in a state where the synchronization events can occur, e.g. when Nokia Music client is active in the PC and the device is prepared to synchronize the music files. Unplug the USB connection to be able to access the music library again.
The situation can occur also when the device is connected via USB and the "Mass storage" mode is selected in the device. The mass storage access is in this situation exclusively for PC and the music files cannot be accessed by Music player. Use "PC Suite" or "Ovi SUite" mode instead for the USB connection or unplug the USB connection.