Please tell me how to change message tone in this sony mix walkman phone, I am using default tone and can't change it. Please help.

I think I am not able to understand this phone properly, sorry if I am asking too much questions here but I hope I will get some help here.

I don't know why it is hard for you, simply go to settings, then sound and alerts, there is then option for message alert , from there you can change to one of the available sound / alert tone.