No, we do not. Your song's copyright is protected at the moment of creation and fixed in a tangible form. This is true for both published and unpublished works.

The process to register copyrights is different for each country. Please contact the copyright office in the country where the work was created for more information. 

References:

http://www.copyright.gov/help/faq/faq-general.html#what

http://www.copyright.gov/circs/circ56a.pdf