Take the song you wish to use, and go to the following directory:

Steam\steamapps\common\GarrysMod\garrysmod

If there is a folder here titled 'sound', place the song in the folder. If not, then create a new folder called 'sound'.

When typing the directory for the song ingame, only include whatever is in the 'sound' folder. Also make sure you actually put in the right file type.