Yeah mate its quite simple.
MP3 is the best file-type, although you might wanna only use smaller files, as the bigger the file, the longer people have to wait to download. Converting music into lower quality is a good thing to do beforehand.
To import:
Goto sound editor in the map editor. Press ctrl + I or press the import button. Then select the music you want. Afterwards, it should appear on the left under "war3imported". Then right click on it and go "Use as Music" then it should appear in the main section of the sound editor. After that, make a trigger at 0.01 map time elapsed (for me, putting a music trigger in map initialization doesnt seem to work) and place action "Sound - Play Music" and select the music file from the list. Hope that helps.