The Muziekgebouw aan't IJ is very easy to reach. It is a 10 min walk from the (back of) the Central Trainstation.

By plane
The nearest airport is Schiphol - Amsterdam airport. You can take a direct train from the airport to the Amsterdam Central Station. Trains leave every few minutes and they take about 20 minutes. Detailed railway informations can be found here.

By car
Approaching from the A10 ring road take exit S114 (Zeeburg/Centrum/Artis) and follow the signs for Centrum. Follow this road straight ahead. It will lead you into the Piet Hein tunnel. In the tunnel, keep to the right hand lane. When you exit the tunnel turn right at the lights, onto the Piet Heinkade.
After 1,5km turn right. Here is the entrance to the parking garage, directly underneath the neighbouring Passenger Terminal Amsterdam with direct indoor access to Muziekgebouw aan 't IJ. Not you cheapest option though... check below
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For general information on parking in Amsterdam check this English site.

Parking at Muziekgebouw
Parking directly underneath the Muziekgebouw is possible, with ususally plenty of space.
Prices: € 38,00 per day / € 4,30 per hour. Note: between 17:00 and 03:00 the costs are max € 25,00 if you press the button "evenemententarief".

P+R car park
Easy & affordable parking is available with Park & Ride. The costs are only € 1,- per 24 hours (!), with a maximum parking time of 96 hours. The condition is that you take public transport to the city center and back, or else you pay dearly...
You can buy your local public transportticket at the carpark. The nearest P+R car park is P+R Zeeburg I, only three stops with tram 26.
Be sure to read all the instructions before parking at a P+R location. And check here if enough parking space uis still available...

Cheap parking at parking centrum Oosterdok, you pay € 5,- per hour untill 21:00, but after that it is € 1,- per hour (max € 20,- per 24 hours)