If it's anything like the Galaxy Y, you need to create a specific folder on the SD card, and put it in there, at which point it will be displayed in the list of available ringtones when you go into settings:
First connect the phone to your computer in USB storage mode.
Then open your computer and browse to the Phone.
Create a new folder called Media
Open the folder and create 3 additional folders called
alarms
ringtones
notifications
Now go to the download folder, right-click the ringtone that you downloaded and choose cut
Now go back to the Media/Ringtones folder, right-click and choose paste.
Anything in this folder will be available as a ringtone on the phone (the purpose of the other two folders is self-evident).
Close the browser window, and on the phone, choose disconnect storage. Unplug the phone, go to the phone setting and choose a ringtone.