Hi Patricia,
please check these things:
1) The format of the file must be: 44.1 kHz sampling rate, 16-bit resolution, stereo, file extension .wav
2) The filename must not be longer than 41 characters. Try to rename the file to a short name on the computer. And the best is not to use special characters in the filename (at least for your tests).
3) Of course you have to be in the correct File Selection display (in this case in the Audio Recorder/Player). (In the File Selection displays for e.g. Style, MIDI Song, Registration etc. you cannot see Audio files.)
Hope this helps!
Best regards,
Chris