You can just drag the MP3 file to the phone using the Nokia Phone Browser, you'll find a link in My Computer. You can either put it in the Music folder on your phone, but the memory is limited (8MB) or you can put them in the root of the MMC card you have in your phone.
Depending on the version of the PC suite that you have you may get an error unless you give the MMC card a name. You can do this by going into Gallery, selecting Options while you have the card highlighted and selecting Rename mem. card from the list.
Once the files are on the phone you can play them one by one or use the Music Player to listen to them in sequence.
