in the vocabulary editor, click on the word or phrase that you want to link with an mp3 file; then click "Media-Dateien" on the top left to open the window "Text mit Media-Dateien verknüpfen". On the right, you can now enter a directory in which the mp3 files are stored and simply click on the respective file to link the selected word with it.
You may also consider to convert those mp3 files into a "media collection" using the menu "Wortschatz / Bearbeiten / Media-Sammlungen erstellen". To do that, choose "Media-Typ: Audio", Sprache: [recorded language], Quelle: "Zuordnungstabelle (Text -> Dateiname) …" and select the "Quellordner mit Media-Dateien" (i.e. the folder that contains your mp3 files). This is especially easy if the mp3 files use the recorded text as their filenames (e.g., cat.mp3, dog.mp3, horse.mp3), then you may simply click "Dateinamen verwenden". Otherwise, a table is required in the format "recorded text<TAB>filename<ENTER>" either as a plain text file ("Textdatei ergänzen") or in the clipboard ("Zwischenablage ergänzen").
Once the media collection is created, the vocabulary trainer will automatically link words with the recordings found in it.