To start off, I have a PDA myself (IPAQ) and always copy mp3's from my computer to the PDA.
You mentioned Windows Media Player on your computer and the same on your PDA. You do not need to use either one.
Basically here is what you do:
To convert files from Music CD to an MP3, you need a converter. A very good program to do that is called CDEX. CNET's download.com has it:
Then once you install the program and convert your *.cda (cd files) to MP3 you can simply drag them to your Pocket PC via ActiveSync.
When you insert your PDA into the charging cradle, ActiveSync should find it and put up an icon in My Computer.
It will be probably called Mobile Device. Double click on that and you will be seeing your pda's hard drive (or memory card). I would highly suggest actually using the memory card because you can fit a LOT of music there.
Simply locate the songs that you just converted into MP3 format, select all of them (ctrl+A), press COPY (ctrl+C), go to your PDA'S memory (or storage card) as described above, and paste (ctrl+V). You can then play the songs using your Windows Media Player or any other mp3 player.
I use the PocketMusic player from pocketgear.com
FYI, the "codecs" you were talking about are basically like translators for different file encoders that are used today. For example, one of the most popular ones is the DivX codec, which is used to read video files. The DivX Encoder compresses the video to a much smaller size then the Codec is used to "uncompress" the file and read it.
Hope this helps, sorry for the long post
Let me know how it turns out
I HAVE A NEWER DELL DESKTOP WITH WINDOWS MEDIA PLAYER 10 AND AND A DELL AXIM50 PDA WITH WINDOWS MOBILE 10. AFTER READING TONS OF INFO ON BOTH....I AM STILL CONFUSED. SINCE WMP10 CONTAINS CODECS, DOES THIS MEAN IT WILL CONVERT MY SONGS ON CD INTO WMA OR MP3 FILES(COMPRESS THEM) AND THEN LET ME DOWNLOAD THEM INTO MY DELL PDA WHILE COMPRESSED, SO I CAN LOAD LOTS OF MUSIC? OR DO I NEED A SPECIAL PROGRAM TO DO THIS. MY "EXPERT" SON IN LAW....WHO DOES NOT HAVE WINDOWS MEDIA PAYER 10 DOES NOT THINK SO. ANYBODY...PLEASE HELP THIS NOVICE.