Is laser is danger for our EYE?

Yes, high intensity light will damage the retina, coherent or not.

But in musical program, they use high power laser,
?

I'm not sure what power of laser they use for such shows, however the lasers are almost always moving, so they will never stop on your eye for long enough to cause permanent damage.

Is IR & UV rays r danger for uur EYE?

Well, yes.