as long as they are not protected itunes files you can transfer them to the device. once you have them on the device go to the media player > music > select the file you want as a ringtone > menu > set as ringtone.
or go to profiles, advanced > menu > edit (the profile you wish to edit) > scroll to phone > click trackball > ringtone > menu > change option > browse > select the mp3 you wish to use.
both of these will change the ringtone for every call. for specific callers go into your address book, select a contact > menu > add custom phone tune
or for a really easy explaination read JS' post