Is my idea for a song, movie, story, etc. protected by copyright?

No. Copyrights only protect expression, not ideas. Even if you’ve got all the expressive aspects (such as the melody and lyrics for a song) worked out in your head, a copyright will not come into being until you fix it in a tangible medium of expression, such as by writing it out on paper or in a digital file, or by recording a performance of it.