To import music:
1) Go into gamemaker (2k3, XP, 2ooo etc...)
2) Click the import/export button (For 2ooo/2k3, it's at the top of the page)
3) Go into the folder for music/BGM/sound effects
4) Check the page to see what type of music files the game supports
5) Click the import button, then find the song you want in there (making sure it's a supported file type)
I put this up here because I'm just not too sure what you've said... Is this what you have done??