It would depend on't mobile to be honest. But, a data lead and then transfer it in (software needed also), from someone elses phone by picture message (but they have to have the data lead etc) or by bluetooth transfer from a laptop/desktop pc via the bluetooth link (bluetooth phone needed).
HTH, I'm no expert and will be happily shot down in flames.
as mowgli says, depends on the phone.
There are a fer ways now, with mobiles being more connectable (Cable/IR/BT).
Also depends on the format the phone accepts ; some will take ordinary MP3, others MIDI or MMF.
As a brief guide, you will need to rip the track from the CD, trim it to size, covert it and upload it.