This is Because You Cannot Import Assets To Roblox Studio.
You Must make A Script That Will Make It.
Here Is A Example
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Instance.new("ScreenGui") -- Makes Gui
ScreenGui.Parent =game.StarterGui
Instance.new("Frame") -- Makes Frame In Gui
Frame.Parent = game.StarterGui.ScreenGui --Makes Parent
Frame.Size = Udim2.new (Size) --Frame Size
Frame.BackgroundColour = ("Really Red") --Frame Colour
Instance.new("TextLabel") --Creates Text
TextLabel.Text = (Text) -- Text In Label
TextLabel.TextSize = 24 --Text Size
Instance.new("Sound") --Makes Sound
SoundId = rbxasset://00000 --Sound Id Custom (Optional)
--Credit To JamiethegreatQ777 For Editing My Script!
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~