Your better off pasting your tunes direct into:
C:\Program Files\Ubisoft\SilentHunterIII GWX 104TESTor SH3\data\Sound\Gramophone
Oggvorbis is the most stable format....and the format used originally by the game.
You can listen to them using VLC media player (free)
http://vlc-media-player.en.softonic.com/
To convert music files to different formats I prefer dBpoweramp music converter:
http://www.dbpoweramp.com/dmc.htm
Don't forget to d/l the codecs from the codec central tab.