In the root of your sdcard create a folder called media. Within media, create a folder called audio. Within audio, create three folders, one called ringtones, one called notifications, and one called alarms. If you place the corresponding tones into their folders they will show up when you go to choose your tones. That's the way I like to handle my tones because it keeps everything organized. If you don't care about that kind of stuff then download ringdroid from the market and you can select any audio tone on your sdcard for any tone you want to set.