Let see some easy example:
You occasionaly found original music of marseillaise (for example here:
http://www.marseillaise.org/english/audio.html 
) and decided that the melody must necessarily play in the Napoleonic Compaign.
You should perform following steps:
1)Download the tune,
2)If it is in *.mp3 format (that is common situation in internet) you should convert it to *.wav file (I suggest using MP3 WAVE Converter for this. It could be downloaded from here:
http://www.convertmp3towav.com/)
3)Than you just add resulting file (e.g. marseillaise.wav) into your D:\HPS_GAME\Music directoty and voila! Among the inferior, MIDI-made cover versions you'll hear the invigorateing "Allons enfants...";).
Regarding tunes, that are already existing in "Music\" foldier you may not to delete them (than the old and the added music will play randomly one after another) or copy them into a safe back-up place and leave in original folder only new downloaded music.
Regards,
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