I got some cool from They Might be Giants the other day without thinking of how much trouble I had the last time I put a custom ringtone onto my phone.
So, here's what I did:
Downloaded my tunes to my computer.
Connect the windows mobile 5 device to my computer using activesync.
Open My computer > Open My mobile device
Copy the file(s) to: Application Data\sounds
The new files will now show up in the list of available ringtones.