In general, if you are quoting song lyrics, you do not need to include a reference in a footnote, provided it is clear from the text where the lyrics come from.  For instance:

In ‘De l’autre côté de la rue’, Piaf describes her room as follows:

Des murs qui se lézardent,
Un escalier étroit,
Une vieille mansarde
Et me voilà chez moi.
Un lit qui se gondole,
Un' table de guingois,
Une lampe à pétrole
Et me voilà chez moi.

If you are quoting three or more lines of a song, you should start the quotation on a separate line and indent it.  However, if you are only quoting a couple of lines, you can keep the quotation in the main body of your text but separate each line of the song with a slash, for example: The opening lines of Piaf’s ‘L’Accordéoniste’ make it clear the protagonist of the song is a prostitute: ‘La fille de joie est belle/Au coin de la rue là-bas.’

In general, song titles should be given in inverted commas, for example, Abd Al Malik’s ‘Soldat de plomb’, but album titles should be given in italics, for example Abd Al Malik’s Gibraltar.

At the end of your essay, you should include a discography with references for every track you have mentioned in the essay.  References should ideally not be to the track itself but to the record on which it was first released, in many cases an album.  It is preferable to refer to the original album rather than to compilations on which you may have been listening to the track.  If you are unsure of the original source (though this kind of information is readily available on Wikipedia!), it is acceptable to cite a compilation.  A discography will list all entries alphabetically by artist, surname first.  If you have more than one entry per artist, it is conventional to list them in chronological order.  Each entry should include the artist, title (album titles in italics, remember), record company and year of release.  For example:

Brassens, Georges, La Mauvaise Réputation (Polydor, 1953).

Daft Punk, Discovery (Virgin, 2001).

Fakoly, Tiken Jah, Coup de gueule (Barclay, 2004).

Gainsbourg, Serge, L’Homme à tête de chou (Barclay, 1976).

If you are writing about films, you may wish to include a filmography.  These are organised alphabetically by title and should give the title, in italics, the director, country of production, and year of release.  If you are unsure, the easiest place to find this information is the Internet Movie Database (imdb.com).  For instance:

Electroma (Thomas Bangalter and Guy-Mauel de Homem-Christo, France/USA, 2006).

Môme, La (Olivier Dahan, France/UK/Czech Republic, 2007).

If you are writing about music videos, you could include a videography.  As this is more unusual, I don’t think conventions are fixed, but I would suggest the following format: Artist, title of track/video, director, production company, year of release.  The tricky bit here is likely to be the production company: mostly, if your artist is on a major label, the production company for the video will be the same as the record company e.g. Polydor for Mylène Farmer, Virgin for Daft Punk.  If you are looking at videos for more obscure artists on independent labels, you’re on your own, good luck!  One other thing, as a track title, the title should go in inverted commas, but, as a video, it is a little like a short film, so I think italics may be more appropriate, for example:

Farmer, Mylène, Libertine (directed by Laurent Boutonnat, Polydor, 1986).