There could be a couple of different things at play here...
This may be a little hard to explain but you should have:
Let's say you want Fantastic Baby
Ultrastar --> Songs --> A folder titled: Big Bang - Fantastic Baby --> 4 files (txt + video + mp3 + cover)
Also, note that if your text file countains errors, the song will not appear in Ultrastar. For example, is the text file says "MP3:Big Bang - Fantastic Baby.mp3" but you renamed the mp3 to "Big Bang - FB.mp3" then the song will not show up.
You can send me a printscreen of your song file and of any file within the song directory for more help.