Today's lesson may be too specific, but it should have elements that will help you in related pursuits. I say this because I have an iPod, not an iPhone, and this lesson uses my iPod Touch (or iTouch).
I'll be setting an alert tone in iMessage.
To start, get your iTouch, USB cable, and turn on your computer. Load iTunes.
Hook up your iTouch.
Find the file you want to set as your tone. Mine was e-mailed to me by my friend (who included instructions). Save it to your computer or external hard drive if necessary. (Maybe it's already there!) Add it to your iTunes library.
Find the file in iTunes. Click TONES.
Drag the file to your iTouch. Disconnect your iTouch when the file has transferred.
Go to SETTINGS in your device.
Click TEXT TONE. Find the tone you want. It is going to be under RINGTONES. Click the tone you want.