The SPD-S can accept .WAV files that are 16-bit with a sample rate of 44.1kHz (only).
Audio that was purchased from an online music store such as Amazon or iTunes, or ripped from a CD, are usually MP3 or m4a audio files and will not import into the SPD-S. You can use iTunes, Windows Media Player, Audacity or other free programs available on the internet to convert these files to .WAV. Refer to your program's documentation on how to perform this conversion.
If you're sure you have a 16-bit stereo .WAV file at a 44.1kHz sample rate, and it still won't import into the SPD-S then the file may have embedded metadata, or "tags," that are causing the error. This can happen with files that come from DAWs ("Digital Audio Workstations"), other audio programs, or sample libraries.
You can strip this extra information from the file by converting it to Apple Lossless or FLAC format. After removing the information, convert that file back to .WAV. Again, you can use various free programs to perform this conversion. (iTunes for example).