Where on earth are you looking?

To change IM or SMS tones you should go through:

Settings -> Profiles. Then scroll to SMS Alert, tap that and the list should say something like:

Beep
Message 1
Message 2
Message 3
Message 4
Message 5

and there should be a "More" and a "Done" button to the right.

For IM tones, same procedure but when you tap "IM tone" the list should be:

Beep
Chat 1
Chat 2
Chat 3
Chat 4

with "More and "Done" to the right.

After tapping "More" you should be able to navigate to the folder where you saved the ringtones.