Yes, it is illegal to use the song in that way unless you license the song from the Artist/Pulisher.
A good place to start is with regard to this issue is here
ASCAP
And here is a Google discussion of exactly what you are looking to do:
Music
Just like a photograph, the artist owns the music and to use it legally in the way you describe you will need some sort of licensing agreement. This can involve several permutations depending on use, etc. It's not really straight-forward.
And to be sure.... It will be expensive!
Royalty free music is fast becoming the way to go for things like this if you are looking to be legal.
Good luck!