If he doesn't want to take treats, or anything from your hand, he isn't going to want to step-up on to it.
Because of how shy he is acting, I would leave him in his cage for at least another day for him to settle down more. Then maybe open the cage door and see if he comes out on his own. He may not come out for a few days, let him decide when he is ready.
It can take some birds over a year to get use to their new home, most pet-stores have no idea what they're talking about. However, with time and patiance, and since yours is young, he might start feeling like its his home in a few weeks.
Remember, he has to get use to a whole new enviorment, new people, a new routine. The more you try to push him to step up and take him out, the more he'll be scared of you.
Sit and talk with him for awhile, get him use to you. If he won't take treats, then just read him a story.
As far as music I always leave the radio on when I'm not home, or the T.V. Mine like cartoons