I don't think songs actually make us sad. Sure, we can appreciate a song's emotive qualities without necessarily sharing those emotions. But more often, I think that when we're sad, we seek out songs that express (musically and/or lyrically) our current emotional state. No one puts on a record thinking, "I'm really psyched for this record to make me sad." But we do find solace in songs that we feel we can emotionally relate to at that moment. This is probably one of the greatest heartbreak songs of all time.