FCP can only use uncompressed audio like .wav and .aif. Some people like to use iTunes to convert whatever sound file you have into .aif then import it into FCP. Here's a slightly faster way.
01) Open your .mp3 or whatever in Quicktime Player.
(I keep QuickTime Player in my Dock and my Finder Window Sidebar so it's usually right there to drag files to. Why drag it? Because in my system I have .mp3 files set to open with iTunes so I have to drag them to QuickTime Player since double-clicking them will bring them into iTunes which is exactly what we're trying to avoid here.)
02) Hit Command + E (to Export)
03) Navigate to your projects media folder.
04) Set "Export" to "Sound to AIFF" and (generally) leave the Options button alone. Leave the bottom pull down to Default or Most Recent. (if something doesn't sound right adjust stuff in these two places)
05) Hit "Save".
06) Open up the projects Media folder so the newly created .AIF file is visible.
07) Tap the FCP Icon in the dock or use Command + Tab to cycle to FCP. Then immediately Cycle back to the Finder and drag your new .AIF file into your Browser wherever you want it.
08) Hit Command + S (or Option + Command + S if you prefer that) in FCP and you're done.