From the Motorola Website:
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Create a folder on the microSD card and name it "notifications" - small caps. Use an SD card reader to do this from your PC. (Not required)
Copy any compatible audio file you want to set as a message notification to that folder.
Insert the SD card back into your phone.
Go to Messaging and press the menu key.
Touch Settings
Touch Select ringtone.
You should be able to locate your audio files there and set them.