In your event editor. Choose Sound > Sample > Play Sample then choose from any supported format. OGG is recommended.
If you want to play your music in loop simply use Play and Loop Sample action.
How do I add my music into the game?
Well your music should be either on MP3 or OGG format then to put it, use my steps explained above.
I did, but now the music is all echoey.
How do I make it so it plays a sound when a character dies?
Hm, I'm guessing that your music is played more than once in the same time.
Can I see the screenshot of your events to play your music? This one should do pretty well:
Say when your character HP is 0 => Play "death" sample.
I fixed the song problem. Which condition should I use?
Never mind I figured it out
There's a lot of ways to do that... depends on how you store your character lives value. Do you use global values? Alterable values? Or Fusion's lives system?
I'd suggest you to learn some from tutorials first so you can get full grasp on how to make basic things done : http://www.clickteam.com/tutorials
You figured it out already, that's good! Keep on learning