(Made a similar post in response to a Keyrite question)
I've noticed a couple of times that
even when I've selected to import a cdg file that sometimes I will end up importing a wave file. I get frustrated when I think I have imported a cdg file and then microstudio can't "find" the file (until I tell it to look for wave)
Working around the bug(?):
After my initial outburst (which generally involves dynamite!!

)
I go back to my import tracks window and "refresh" the selection by clicking wave, then back to cdg. Microstudio should then import cdg files without exception.
I would advise all to configure windows explorer so that they can see the extensions (.wav, .cdg etc.) of the files to know when the problem has occurred.