first, you must have the palm desktop...A free download from palmone.com
Install it, and then you need to set up a connection(conduit) between the palm and your computer, fairly easy to do. If your palm is connected with a USB cord, click on the hot sync icon in the system tray and select Local USB. Sync your palm, setting up the rest of the connection.
After you have synced for the first time, provided you have a SD card slot, you can choose where to install the audio file with the Palm Quick Install program. It is not required that you have an SD card slot, but you need to check your documentation and make sure your palm can support audio files and of what format. Should be a piece of cake from there.