"A musical" is confusing because it is a special case. It is a shortened form of the phrase "A musical comedy." In the full phrase, "musical" is an adjective modifying the word "comedy." "Comedy" means a kind of stage play. Stage plays usually involve ordinary spoken dialog. A "musical comedy" is a play that is musical; there is an orchestra, and from time to time the characters burst into song.
Otherwise, "music" is a noun. It is the stuff, as it were. "Musical" is an adjective. It means "have the quality of sounding like music, using music, or making music."