File systems try to optimize many different aspects at once. However, techniques to store a 50 terrabyte database differ from those to manage grandma's recipe notes.
The basic allocation unit on a Windows filesystem is called a cluster. A cluster is a sequence of several disk blocks, almost always 512 bytes each. On modern media, a cluster is typically 8 blocks or 4,096 bytes, especially NTFS. On FAT (thumb drives), it is likely to be 32,768 bytes.
For storing music, often the clusters are allocated consecutively, which is what you would expect for "whole blocks" (which doesn't mean much). This means the file is contiguous (or not fragmented).
However, if the file has dodgy history, or it is added to a volume which is nearly full, it is likely to be fragmented.
In the first case, the file had more data added later. The file system logic allocated reasonable space for creating the file. Only when more was added was it discovered that the following clusters were not available (used by other files) so the file grew non-contiguously. This is not really a big deal for most files. In the second case the free space of a nearly full volume is likely to be scattered throughout the volume, maybe the result of files being deleted to make space. Still, if there is 1 GB free, you can write a 1 GB file and use the space up—mostly you don't care that it is in 3,477 different scattered places on disk. That is "usage efficiency".
However, in NTFS, keeping track of all those scattered locations consumes space in the Master File Table (MFT). If the clusters were contiguous, a single entry saying "262,144 clusters begin at volume cluster number XXXX" takes up just a few bytes, fits easily in the primary MFT record, and it is very easy to compute the location of any cluster. However, if the file is fragmented into 3,477 "data runs", that takes many MFT records to describe (150–200 fit into each MFT record). Determining the location of a cluster is more complicated and requires many extra disk accesses compared to a fully contiguous file.
If fragmentation bothers you, you can defragment a volume using the disk utility, something which can take hours. It works fastest with at least 10% free disk space&mash;more is better.