There are a few different ways to import the special audio file you are looking for. If you go to the left hand Movie Tasks window you then go to the first option, which is Capture Video. Here you go and select the "Import audio or music" option, which then opens up a file finder window to search on your hard drive or devices currently attached to your computer. If you do it this way the only files that will be shown will be audio files that are supported by Windows Movie Maker. Another, and possibly easier, way to import audio is to simply go to File in the task bar and select Import Into Collections. Here you are presented with a search menu just as you were the other way, but now you have the option to import any type of media file and not just an audio one.