Which one is correct. Which or what?

Depends on the situation - you may be given/have a list of songs, hearing one playing you may ask 'which song is playing?' or you may hear a song playing and ask someone 'what song is that playing?'

Anonymous Which song is playing? Or What song is playing?

what identifies.
which selects.

In most situations you'll want an identification. What song ...?
If you are already aware of a limited number of songs it could be, you'll be selecting. Which song (of those songs) ...?

C