It is slang for 'let's put somthing on'. The person is saying that he wants to play his favorite blues song. When we put music on, it means that we want to start to listen to it so we perhaps turn the radio on, or listen to a CD.

when you are talking about music and your favourite blues collection

Can you elaborate, or give a sentence with your phrase in it? It could be, "Let's put some clothes on." Or, "Let's put something to watch on the television." Or, "Let's put on a stage show for people to attend."