Shehnai's can be bought at Sardar Flute in Dadar East. Cost INR 500 or so, INR 700 for the good ones. Take a taxi and ask for Chitra Cinema. Their address is Gurudwara Building, Dadar East. The phone number is 91-22-24131508. About 30 minutes car ride in non-peak traffic and an hour in peak traffic.
Other music shop closer to the Taj is Furtados, but not sure if they sell shenhais or only Western instruments. They are at Dhobi Talao, and the phone number is on this page:
Not sure what classical music shows will be playing in town when you visit. The best guide which lists all musical events is Time Out Mumbai. Get a copy when you land. Conceirge at Taj will help you get a copy.
"Not Just Jazz by the Bay" is a restaurant not far away from the Taj that has live shows in the evening, not only jazz but other stuff as well. I would not place the music as very high quality, but sometimes it is good.
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