Here are the preliminary steps in short:

• Select a song.
• Listen to it in loop.
• Try to visualize the story behind it. 
• Write down your ideas, even the silly ones.
• Break the song into small events or shots.
• Mark the timing, music shift and chorus while scrubbing the song.

I will be explaining more about explorations, selecting the style, story boarding for making animation music video in second part of this module. i.e.

‘Animation Music Video- Explorations (Part- 02)’- (coming soon...)