It's probably telling you that because the destination directory does not exist. You can create it with mkdir. For example:

my $destination = "/home/zack/music";
my $music = "$destination/$mp3";
if ( ! -d $destination && ! mkdir $destination ) {
    die "Can't mkdir $destination: $!";
}
copy( $mp3, $music ) or die "Can't copy $mp3 to $music: $!";
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