I have no idea about your device, but normally you just long press the ringtone that was sent in a message then select save as ringtone. In the old days when you bought a ringtone (very foolish when you can make them or use phonezoo to send to your device in an email) it automatically went into the proper spot on your device, you then set the tone for your default or for a contact. Read the owners manual.
As a post script, this is a peer to peer customer forum. If you wanted a faster answer call *611 or 800-922-0204 and speak to Verizon tech support.
I had the same problem, paid for a ringtone and received txt msg that I had successfully downloaded the ringtone. However it wasn't in my ringtones list, Music file, I had no idea what to do.
After reading a few comments from others having the same difficulty, I went back to the txt, pressed and held and window opened and one of the options was "save to internal memory". I selected that option and lo and behold, my ringtone came up in my Music file, I pressed on the item and window opened with option to to "use as ringtone". Unfortunately,after two days of trying to figure out how to move the song into my ringtones, a message came up that said "this player does not support this type of audio file". lol
So I will try to find out what types of audio files my Optimus Zone phone WILL support so I can get some decent ringtones to use. At least I know how to add them to my ringtone list now. Hope this helps.