As far as I knew you COULD import Mp3s into Aftre Effects. However, once there they do not work properly. Ae does not like compressed audio.
Dunno what version you are using there. It looks like an old copy of Windows to me. NT? So maybe your version stops you early. That's good.
Simply convert to a WAV file using your favourite audio editor and import that.
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I'm not young enough to know everything! | 
can't import mp3 to AE 
Linear Mode
