There are several restrictions that ringtones have on them and as such, you cannot just set any mp3 (or song). Even if you have one that meets the requirements as a ringtone, you also cannot add a ringtone straight from your music library.
If you can play a sound file on your phone, if it isn't protected
with digital rights management (DRM), and if it's smaller than 30 MB,
then you can use it as a ringtone on your phone.
According to Microsoft, you have to connect your phone to your PC and add the file to the ringtones folder. On your phone, go to Settings Settings icon > Ringtones + sounds > Ringtone. Your new ringtone will appear under Custom in the list of available ringtones.
You can also receive a ringtone via sms. Tap and hold on the file, and select save as ringtone.