It sounds like you bough the song only, not the song and the ringtone.
Ringtones via itunes are available in the U.S. only.
In the U.S. to make a ringtone you:
Buy the song with a bell - 99 cents
Find the song in your library and click the bell
This bring up the editor.
You edit the song to the portion you want.
Then click buy to purchase the ringtone - another 99 cents.
Then it shows up in ringtones and you can sync.
As I said, this method of creating ringtones is available in the U.S. only.
There are, however, many ways to make ringtones:
http://www.iphoneatlas.com/2008/01/02/guide-the-many-methods-for-using-custom-ip hone-ringtones