Reference: Sharh ‘Umdatil-Fiqh – Tape 1, Question No.28
Question: In our country, women get together in a sports gym and dance to the sound of drums, claiming this is for physical exercise. Is this activity permissible?
Response: Sport is permissible. [Engaging in] sport in which there is benefit to the body is permissible, with the condition [the women are] suitably covered and no men are watching them. As for what goes beyond that [doing so] with the sound of drums and music, then this is impermissible, because [music] is from that entertainment which is prohibited.