Wind instrument, one joining piano in exercises (4)
I believe the answer is:
pipe
'wind instrument' is the definition.
(pipe is a kind of wind instrument)
'one joining piano in exercises' is the wordplay.
'one' becomes 'i' (Roman numeral**).
'joining' is a charade indicator (letters next to each other).
'piano' becomes 'p'.
'in' means one lot of letters goes inside another.
'exercises' becomes 'pe'.
'i'+'p'='ip'
'ip' going inside 'pe' is 'PIPE'.
(Other definitions for pipe that I've seen before include "It can be played or smoked" , "Tobacco is smoked in it" , "Tube with bowl for smoking tobacco" , "Possibly a churchwarden" , "11th" .)