I am running MusicMatch Jukebox 9.0 on my PC (Windows XP Home edition) and I've transferred my MP3 and WMA files with no problem to my IPAQ 1945 that came with Windows Media Player installed. This is a slow process and uses your main memory up. I perfer to copy the files to a storage card via a card reader and direct the Windows Media Player on the IPAQ to create a playlist from the files on the storage card. Much faster and does not fill up your internal memory.
I just tried Windows Media Player, and you just hit the sync button at the top and it finds your (compatable) device (on the right of the screen, and you put your playlist (what you want to transfer) on the left side of the screen. You can tell the program where to put the files (memory, internal store file or storage card).