I am not sure what you want to do. But you can set a specific ringtone per contact, using files you downloaded to the SD card. You start the Music app, then select an mp3 file. Hit Menu, and one of the options is "Set as Ringtone". Then it asks you which contact you want to assign it to.
You can also assign ringtones from the People app. You can assign any ringtone that appears in the list by selecting a contact, edit, select ringtone.
But the files that I downloaded to the SD card don't all show up in the list.
I don't know why. The safest way is to do it as I outlined in the previous paragraph.
I don't know what you expect if you haven't assigned a contact-specific ringtone (last paragraph of your post)?