feeling.
这句等于 Why don't you listen to some cheerful music when feeling sad.(觉得伤心的时候,为什么不听些让人愉悦的音乐?)
why not等于Why don't you ,后面都加动词原形.
若主从句的主语相同,且从句谓语含有动词be,可将从句主语和动词be省略.完整形式应该是when you are feeling sad.you are 省略掉了