Tips: Don't cause too much panic around the two musicians or they will run away.
You don't have to listen to the whole song. Added Info thanks to the comments-Don't rob black markets before you go to the musicians
MISSION 2: EDGE OF THE WORLDAfter the wall of light continue on through the next door to the train station. The two musicians are at the small market, you can't miss them.
MISSION 6: DUST DISTRICTWalk into the Saloon on the left side after you walked through the wall of light. Inside is Paolo and some guards, so stay back and listen to the song from a distance.
Stay back and try to see the musicians in some way. Most likely, you only have to hear their song for a few seconds, but if you sneak up and listened to them for a while you're good to go.
MISSION 8: GRAND PALACEOnce you reached the wall of light that leads to the palace, turn right and take the next street left. The two singers are standing there with a crowd.