On your SD card, create a folder called Media. In that folder create another folder called Audio, and in that folder create one called Notifications. Place the MP3 file in the Notifications folder and there ya go. Check to see if the folders are already made on your phone. It wasn't on my Motorola Droid so I had to make them myself and works just fine.
In the Audio folder, you can also create an Alarm and Ringtone folder to add other MP3's to that as well to customize your phone even more.