Cortana says "Ask me anything," so why not ask her "what song is this?" if you're listening to music you don't know the name of.
If you have the "Hey Cortana" feature enabled, you can just say that to launch the assistant and then ask "what song is this" to have Cortana try to identify it, the album, and the artist's name. Otherwise, tap the microphone and ask.
MakeUseOf notes that she was pretty good at identifying popular songs but not some more obscure stuff. That was my experience as well.
Still, if you're not using something like Shazam, you have a built-in music identifier in Windows. Perfect for those times you're in a coffeeshop or hear a commercial and wondering what song you are listening to.