You can only import ".snd" files to GM's sound system. To play wav's, mp3's and all the other sound formats, simply use the movie command, like this:
MOVIE 0 0 soundnamehere.mp3
The coordinates for plavement must both be zero becuse you are not placing a video file, you are only playing the audio.
If you want to import and use .snd files, I reccomend finding using a .snd converter. I myself use SoundStudio. Hope this helps!
-Swamp