Don't get hung up on the word "decay"; it is jargon that does not have quite the same meaning in particle physics as it would in commons speech. In particle physics, fundamental, non-composite particles can simply transform into other particles. What happens is that a tau lepton turns into a muon, a muon antineutrino, and a tau neutrino. There is *no sense* in which these particles were "originally inside the tau" and then they came out when the tau "decayed." To drive this home, most unstable particles can "decay" into many different possible sets of products. For example the tau can also turn into an electron, an electron anti-neutrino, and a tau neutrino. Since the tau can "decay" without emitting a muon, clearly there couldn't have been a muon hiding inside the tau.
The word "decay" is picturesque jargon that suggests a heavy particle falling apart into its lighter constituents. This is *not* what is happening. "Decay" is just the word we use to denote a heavy particle turning into a collection of lighter particles.
In particle physics, "fundamental" particles are particles that are not composed of any constituents. Electrons, muons, taus, neutrinos, quarks, and gauge bosons are fundamental. Protons are not fundamental but composite, being composed of quarks and gluons. A particle that does not decay is called "stable." Most fundamental particles are not stable. The proton might be an example of a stable composite particle; at least, we've never seen one decay.
