Simple..
1. Sync the phone
2. Click EXPLORE
3. select MY WINDOWS MOBILE BASED DIVICE
4. select APLICATION DATA
5. select the SOUNDS folder...
...now just click and drag any song you want into that SOUNDS folder and boom... all done.
Quick note...it is usually a good idea to edit the songs down to around 30 seconds, using the 30 seconds of your choice that is. This can be done with any audio editing/clipping software, Cool Edit Pro is the one I use. Not only does that help the ringtone have more isntant appeal, it saves lots of space for more ringtones!
Also something to think about, media saved in the sounds folder for ringtones cant be used for voicemail/text message alerts...as far as I've been able to tell.