How i normally do it is i take whatever audio file i want, covert it to WAV, then go to the Music folder on my project and right click >import music.
Then once that's complete i go to the layout>double click>click on Audio.
Then go to the event sheet>System>OnStartofLayout>Audio>Play>Select song and then Loop.
But to be honest, i am still very new to Construct 2 so my method may be wrong or not as effective.