Most MP3s are stereo and will be 2.0 (stereo) or 2.1 (adds bass center?) capable. Owners of 5.1 systems will have complaints like yours.
There is no easy fix here since even a AudioCD may not sound as good as real 5.1 content.
I have Creative 5200 5.1 speakers connected to a Creative Audigy 1 sound card. I'm running Windows XP Pro and use Windows Media Player. I've noticed that my subwoofer doesn't sound so good when playing some Hip-Hop mp3s. So I tried unplugging the Center/LFE connector and I noticed that my subwoofer was still working! I unplugged the rear speakers connection and still, the subwoofer was working. I realized that I get subwoofer sounds from each connector, each connector would make the subwoofer more powerful. The speakers sound fine though.
So my question is if this is normal or could there be something wrong? Could someone please confirm if the subwoofer is supposed to react to all three connections or just the center/LFE connector?