The speaker has odd taste, to say the least. She doesn't like listening to birds singing or the river babbling. Nope, she likes listening to the sighing of the wind. And these aren't just any sighs. They're hollow sighs. So the sighs are empty and devoid of meaning. This is one mopey speaker!
Strange sounds are heard, and mournful melodies, As of night wanderers, who their woes bewail! (7-8)
The speaker imagines that she can hear funny music on the wind, ghostly music. And check out all the alliteration in these lines: the repeated S of "strange sounds," the repeated M of "mournful melodies," and the repeated W of "wanderers who their woes bewail." Those letters in particular make a kind of windy, sighing sound. Appropriate for ghostly music, don't ya think?
Here, by his native stream, at such an hour, Pity's own Otway I methinks could meet, And hear his deep sighs swell the sadden'd wind! (9-11)
The speaker imagines that she could meet the ghost of the poet Thomas Otway, since he grew up around these parts. What would the ghost of Thomas Otway be doing down by the river, anyway? What do all good poets do when they're down by the river? They sigh and feel melancholy, obviously.
O Melancholy!--such thy magic power, That to the soul these dreams are often sweet, And soothe the pensive visionary mind! (12-14)
The speaker finally addresses melancholy directly here in the last few lines. She says that melancholy actually soothes her mind and soul when she's feeling pensive. Kind of like how we like to listen to sad songs on repeat when we're feeling mopey. The speaker doesn't have an iPod, so she just goes down to the river and listens to the sighing of the wind.