All modern files have a file extension at the end of the filename which denotes what type of file it is and what it should be opened tin (.bmp, .mp3, .html, etc). By default Windows hides this part of the filename from display. If I had to guess what was wrong (to help others with the same problem) I'd say that whatever converter you used named the files .oga instead of .ogg - both are acceptable file names for that type of file, but Tsukihime only looks for the .ogg and hence doesn't find it. If displaying file extensions is disabled in Windows then just adding .ogg to the end of the filename will not help as it will then be Track01.ogg.oga or whetever. Therefore to fix it you would have to following this guide
to enable the display of file extensions and then rename the files from .oga to .ogg.