So my question is : I wanna make a dialogue between the player and a NPC can I insert a sound file that a friend have recorded and sent to me? Like someone have recorded the line and I just have insert it in the right place so the NPC will say it. Can I do that ? Is it going to work properly ? And is it hard to do ? Please help ! Thanks in advance !

Sure, you can do this. When you enter the text of the dialogue in the Creation Kit, it will tell you the expected name of the sound file and where it expects to find it. It'll be something like

/Skyrim/Data/Sound/Voice/YourModName.esp/YourVoiceSetName/LongUglyFilename.wav

The dialog box looks like http://www.creationkit.com/images/8/88/GoodSoundExport.png--the expected filename is where it says "Voice Filename:" (it's that GSQ01_GSQ01MeetingBendu... thing).

Just put the file your friend sent in that directory, and rename it to the name the CK has told you. Then open the response window in the CK again, and use the Generate Lip File button to create lip movements based on the sound.

Here are a few tutorials:

http://www.creationkit.com/Bethesda_Tutorial_Dialogue
http://www.creationkit.com/Adding_Voice_Intermediate_Tutorial