This is the song importer.

Use the Up and Down arrow keys (or PgUp, PgDn, Home, and End) to navigate the menu. To change which song you are editing, select the Song number and press the Left and Right arrow keys.

When you add a new song slot, it starts out empty. You need to import a file into it. Pick "Import Song..." and press ENTER or SPACE.

Here is a list of the supported song formats:

.MID - MIDI Music is like digital
  sheet-music. It is a description
  of which notes to play and which
  instruments to play them with.
  MIDI has very small filesize,
  so it is the most popular choice
  for people who want to keep
  their game size small. Sound
  quality is somewhat limited, and
  MIDI music does not sound the same
  on every different computer.

.OGG - Ogg Vorbis is digital music.
  If you need higher quality sound,
  or voices, or if you want to make
  sure that your music sounds the
  same on all computers, use OGG.
  The disadvantage is that the
  filesize can be much larger.

.MP3 - This popular music format has
  the same advantages as OGG, and
  the same disadvantage of large
  filesize. When you import an MP3
  file it will automatically be
  converted to OGG (using the madplay
  and oggenc tools).

.BAM - Bob's Adlib Music format was
  once the only format supported.
  Like MIDI, BAM is a sheet-music
  format that describes musical
  notes. It has very small filesize,
  but suffers from the same
  quality and consistency issues
  as MIDI music.

.MOD .XM .IT .S3M - Tracker formats
  are sheet-music format similar to
  MIDI, but they can also include
  digital samples of the instruments
  they use, and they always sound
  the same no matter which computer
  they are played on. Their filesize
  is usually bigger than MIDI or BAM
  but is usually smaller than OGG
  or MP3.