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There are some people asking how to get the third song (canyon.mid) to work in Chip's Challenge. This was one of the best and most memorable songs of the game, but in later versions of Windows the song became missing from Chip's Challenge by default, and this is for a very simple reason:
Chip's Challenge looks for canyon.mid in the Windows parent directory (C:\Windows). If canyon.mid is not there, the song will not play - simple as that. In later versions of Windows, canyon.mid does not exist in the Windows parent directory by default. So to resolve the issue, simply download canyon.mid if you don't have it already, and place it in the Windows parent directory. You can download the song here: http://www.mediafire.com/file/moo71q64diz137u/canyon.mid
After you have finished the simple step above, then, assuming the other 2 songs (CHIP01.mid and CHIP02.mid) are in the same directory as Chip's Challenge (which doesn't have to be in the Windows directory), Chip's Challenge will cycle through all three songs flawlessly, as it was meant to be (starting with CHIP01.mid [the "aggressive" song] on Level 1, canyon.mid on Level 2, CHIP02.mid [the "brass instrument" song] on Level 3, and so on in this order).
P.S. Note that all of the above assumes that no hacks have been applied to Chip's Challenge to change the name of the songs it looks for or the order that they play in.