Well Admiral, so far I have just been using good ol' mp3s from my seperate USB Drive (I do not have any File Sharing or iTunes installed - the songs I actually ripped off CDs in my collection from a few years ago (I think I might of used MJuice back then, but I was still in an Apartment and younger LOL - and yea - MJuice is a wierd name) and just kept them all on a seperate USB Drive to take to work and back [except for Bad Boys - I admit I had to ask a 'friend' for that one - and where he got it I didn't ask - oops

].
Just as a test - Showing on Step 3 Screen in Section 3 (the WMM Part of the tutorial) is not only the Audio Import Link (4th on the list), but also shown in that screen is a MP3 file called 'New Stories (Highway Blues)' which is a free music file in XP (in the My Music Folder under Sample Music). Since this file should not have any copy protection on it (freely given with XP) its what I used to test the import - and you could try to import this file first and see if you can get it in.
In fact the "Movie Sound" at the start and end of each of my videos is also an MP3 file I found at
SoundDogs - A Sound Bit Site (Which has TONS of soundclips - and I've been using that Movie Sound for the past few years, kinda a trademark of mine I guess

) and you could DL a soundclip there (right click any MP3 Preview to your comp to test) and try Importing it as well. If it goes in - then the song your trying to import may have some 'copy-code' buried in it.
Even so - The music from my disks would be 'copy' protected I guess even from a few years back - so my next guess is if it cannot be 'burnt to CD' (due to copy-protection somehow) it may not be able to be used in WMM.
Send me a PM with your results or post them here - and we'll see if I can't figure it all out