To display the copyrighted work. Most of the world now seems to recognize the need to give incentive and protection to creative persons. Copyrighted material owned by U.S. citizens is protected in many other countries by those countries' copyright laws and treaties with the United States. You may or may not receive permission, but when you use someone else's property you must have the property owner's consent. Think of copyrighted music as a piece of property, and you'll be on the right track.
Some publishers routinely grant permissions over the phone.
Immediately destroy any unauthorized photocopies, tapes, etc., and replace them with legal editions. Possession of any illegal copies puts you in a position of harboring stolen goods. You may perform copyrighted religious works from legal editions in the course of services at places of worship or at religious assemblies. This includes copies of recordings or tapes of church services, concerts, musicals, or any programs that include copyrighted music. Fees are usually required for each permission.