First of all, how would a music makes you feel sad? The beginning of a breakup require a lot of dealing with memories and losses. Music helps u recall back a lot of memories. This is especially for those music which are highly autobiographic, they usually make listener feel closer to the message that the lyric writer want to convey and of course they make listener feel related to the song somehow.
I believe everyone have the feeling of relating our own situation to a particular song. I always have the feeling of "Oh, this song was refering to me!" or "Gosh, I feel like what the song is feeling!". However, this may cause us become more grief. It make us recall what we used to have and what we have lose. This is absolutely hurting for someone who need to get over with a breakup.
There are some songs I know that give me feeling like that. For example, the singer T-Swift. Her lyrics are highly autobiographical. She said before that she write songs after breakup to get over with it. With songs which are so emotional, I suppose it will also increase the sadness in us and doing no help at all except summoning tears.
Therefore stay away from all the sad music and turn on the volume for songs that make you want to dance when you are dealing with breakups. Music is a good way to heal and chase away the gloom if you know how to use it well. :)