ORIGINAL: fledermaus

Sounds to me that you are not getting the music wire itself hot enough. If you heat the solder but not the metal it is supposed to bind together, you will get the result you describe.

Two possibilities I can think of:
1) your soldering tool (iron, gun whatever) is not powerful enough to do the job. Small soldering irons designed for electronics work are not suitable for working with heavy music wire. In this case, get a new tool.

2) you are applying the tool directly to the solder rather than to the metal workpiece. You should be heating the music wire and letting the music wire heat the solder.

There may be other causes but these are the ones that spring to mind...