Press on white Song gateway button.
Press on red square and it will open the location where last file (loaded file) is stored. Look in the down-left corner (path shown) to see where is your file located.
Be sure that "Audio" not "Midi" to be selected...
(this picture is from Reference manual, from the List creation, but is almost the same with selection of an audio file in play mode. You have to be sure Audio is selected because that little option button will make difference between audio files (wav, mp3) and midi files (mid, kar, etc.))
Regards,
Vali