What phone (make and model), what version of Android and what app are you in when you try to change it (and is it playing, bur paused, in some .mp3-player app)? (If you play a ringtone, pause it and use the Home button, the song is still being held by the .mp3 player app. Use the Back button to end using an app.)
And ... you can't open the file in 2 apps at once - if an .mp3 player has it opened, the Phone app can't open it to allow you to choose it.
Please join the Android Central community so that you can post your answers in this thread, so you don't have to start all over again. (If closing the player that had it opened solves your problem, you're done, right?)