We have had this day an excellent opportunity of hearing military music, and at the same time, of seeing a military parade. The Prince Saxe, a brother of the Queen, died a few days since, at his residence in this city; and to-day the body was removed from the house to the railroad depot, from thence to be taken to Altenberg, to the family vault. About three thousand cavalry, artillery, and infantry were called out to perform escort duty. There were seven fine military bands, a part of them being composed of mixed instruments, and a part of brass only. They played in admirable style.