I am surprised that no one has yet responded to your questions.
For what it is worth:
Your WMP on you desktop PC is capable of "adapting" itself to other formats by utilizing other codecs which you install along the way. Unfortunately, this is not the case for the Pocket PC version. This means that while your desktop WMP will play, for example, DivX movies after you have installed the necessary codec, the Pocket WMP is not capable of learning this new trick. Thus, you need PocektMVP or other third party media players.
So, you can only play files in either Windows Media or MP3 format, including asf, wma, wmv and mp3 files.
As for your last Q, movies converted as a result of the guide on this forum is, of course, playable on your Ax ;) ;) , provided you have installed the necessary programs