"Guitar or piano" should also be accepted. All three possibilities (definite article, indefinite article, no article) are acceptable in English in different contexts and here there is no context to determine which one is to be preferred.
Articles aren't needed at all here, actually. It's terribly vague.
I am more often puzzled in this course by my limited proficiency in English... but how can we tell this has to be "the guitar" and not "a guitar"? Any difference in Finnish?
I think "a" should also be accepted, so report it next time if you didn't already.
no difference - it's the course, not your English
Both a/the should be accepted as we only have a phrase here...