Well .mp3 is your basic compressed music file, this is the most common form you'll find and it can be played in the default windows media player, which also plays .wma files which are just like mp3s but with smaller file sizes so some people perfer them, its easy to tell which is which one woudl be named something like TobyKieth-AngryAmreican.mp3 and the other, TobyKieth-AngryAmreican.wma the file xetension is the only way to tell them apart.
I've noticed that the majority of movie clips for the pocket pc, and that play the best on the pocket pc are .mpg or .mpeg files, you can downlaod some at
Pocket Movies and you can use
PocketTV to view those. If your a novice user those are proably the only things you'll need.
If you want to mess around with a cool music player thats more like Winamp I suggest
PocketMusic which you can use different winamp skins with and in future versions will support audio streaming from the web .mp3 .wma and .ogg files
good luck