When it comes to importing an audio file, it is done in the same way as any other type of file you want to get into Unreal. You could either do it by dragging it into the content browser directly or through the right-click menu of the content browser, or even by hitting the big Import button in the content browser, just like any other asset. But the point here is, the type of audio files that you can import.

While all other engines support various types of audio files, such as *.wav, *.mp3, *.ogg, and so on, not all platforms support the same file formats. Unreal Engine accepts only the *.wav file, nothing else. That means if you are trying to import an audio file of type *.mp3 for example, Unreal will not reject it but at the same time it will not be considered as an audio file, and probably will be imported as a movie, that you can't neither play nor watch.

Sometimes you can think of this as a bad thing. But in fact it is a very neat and powerful thing, as you have...