Well you're going to need it in mp3 if you've downloaded them as Itune's stupid AAC or whatever it is format (you should be able to convert it directly in Itunes depending on when you bought them, I know for a while they were being format nazis and wouldn't let you convert it the easy way).
Then open the import maneger in wc3 and import the sound file, then you should be able to use it as music/sound if you open it in the sound editor.