Here's a good starting place to learn a bit about the system.
MS Tutorial
Basically, when you dock to your PC with Active Sync, you can access the PDA file system from the PC. You can copy/paste files, or drag and drop to any directory/folder on the PDA.
Some types of files will be converted to Pocket format ... loosing some of the more complicated PC format.
Music files ... mp3 or wma ... will play on Pocket Media Player, but there are others to choose from. No Winamp yet.
Expansion cards can be CF-I, CF-II, MMC or SD. This is memory you add where files and programs can be stored, but is not available to the system to execute programs. It saves you from using up main memory, leaving plenty of space for the OS and your programs to run in.