Aló Mario/UK !

O correto é
I don't like classical music.

It has to do with whether you are referring to classical music/jazz music (or any subject) in general or to a specific track or CD (or feature of the subject). Sometimes "the" is used, sometimes not. It is often the opposite from the usage in Portuguese, I think.
Example:
Apples are red.
As maçães são vermelha (vermelhas? - falta do meu português)).

Veja se possa ver a diferença nas frases seguintes:

I like to listen to classical music in the morning.

I don't like the classical music you are playing.

I love to listen to jazz.

I was listening to the new jazz CD you were playing the other day.

Espero que isso lhe ajude.
Um abraço,
Ana

Sinto muito para minhas faltas em português; há tempo que o escrevi :)