The SPD::ONE WAV can import .WAV files that are 16-bit with a sample rate of 44.1kHz (only).
Audio that was purchased from an online music store such as Amazon or iTunes, or ripped from a CD, are usually MP3 (compressed) or m4a audio files and will not import into the SPD::ONE W. You can use iTunes, Windows Media Player, Audacity or other free programs available on the internet to convert these files to .WAV. Refer to your program's documentation on how to perform this conversion.
If you're sure the file you're trying to import is 16-bit/44.1kHz, and it still won't import into the SPD::ONE W, then the file may have embedded metadata, or "tags," that are preventing it from importing. This can happen with files that have been exported from DAWs ("Digital Audio Workstations"), other audio programs, or sample libraries.
You can strip this extra information from the file by converting it to Apple Lossless or FLAC format. After converting to Apple Lossless or FLAC, convert that file back to WAV 16-bit and 44.1kHz.
iTunes can be used for these conversions: How To Convert Audio Files for Importing