Might be a little late but, I don't think you need to use system.FileOpenDialog to set the sound of another object. Just put the full path to the music you want. The state, however, must be renamed if your using a default state. For some reason I couldn't set the sound by script for mouse over, mouse away, etc.
desktopx.Object("ObjectName").States("StateName").sound = "C:\My Music\mysong.mp3"