It might help if you posted a link to the MP3, unless it's an original creation and you don't wish to share it.
But yes, as John said, import it through the resource manager, not by copying and pasting the file into the BGM folder (or anywhere else). Try it through the sound test, as a auto-play BGM, and a play BGM command. If it doesn't work this time, try re-downloading the file if you got it off of Limewire or online. Tell us if it works or not, then we can help some more.