Wouldn't it have to have evolved for some reason, though? Come from somewhere?
I recently read an article discussin musical appreciation in animals. Researchers looked through a bunch of videos of dancing animals, and checked which ones actually moved rythmically in time with the music playing. Those which did (if I'm remembering this right) were parrots and elephants.
Both parrots and elephants (as well as humans) can recognise and mimic a wide variety of sounds which they use in communication. The researchers' speculation was that musical appreciation is just a side-effect of whatever mental structures are necessary for an animal to learn to mimic sounds and use complex vocal communication.
Edit:
Here's the BBC article I read.
This seems to be the original journal article for anyone with access.
Edited by caffeine, : Added links