I've crossed the border with my guitar on many an occasion and it's never been a problem.

If you tell them you're coming across to attend a music festival and you've got instruments, it would help if you had a flyer from the festival showing that you're not one of their advertised performers.

But seriously, a lot of people cross the border every day with musical instruments. If they're for personal use, it's perfectly OK.

What you don't want to do is tell them you're just a tourist or just visiting if your name is on publicity material or websites for the festival.