In order to help with what might be wrong, we would need to know what you have actually tried.
This is working for me:
Copy the code section below.
In MC, go to "Manage Links", click the "Add" button, then click the "Paste link information from clipboard" button, then click "Ok" and try it out.
Answer your original question by comparing what you were doing with what is working. Good luck.
<Link version="1.2">
<Item Name="Name">Artist on Soundcloud</Item>
<Item Name="Action">1</Item>
<Item Name="Base URL">https://soundcloud.com</Item>
<Item Name="Search URL">https:////soundcloud.com//search?q=[artist]</Item>
<Item Name="Filter">mt=[Audio]</Item>
</Link>