It depends ... For instance, if you play an instrument you would say: "I play the guitar, I play the piano, I play the bass."
However, if you simply wanted to say you owned an instrument, "a" would generally be used instead. For example: "I have a guitar, I have a piano, I have a bass."
If you are talking to someone and want to tell them something about this guitar (or any other instrument), depending on the structure of the sentence you could use "the" or "a" and both are used commonly. You could say: "The guitar is black." or something like: "This is a white guitar."
This is all I can think of off the top of my head ... but, let me know if you have any other questions. ^^