You can only import video files, but you can play any file type. In effect, "play" asks Windows to "open" whatever file is in the Path name field. Windows does so with whatever program has been associated with that file type. The MP3 pathname would have to be entered manually to the field.
Multiple files entered in the Path name field are passed to Windows using a playlist. So you could, for example, precede a movie with some music—to set a mood, or give you time to pop the popcorn. Note, however, the files are ordered by pathname in the playlist, so the music will precede the movie only if it's filename is "before" that of the movie.
Now I have to ask... Why do you want to do this?