The site is down right now, but when it comes back up, you can download it at cdexos.sourceforge.net
I like this one because you can convert mulitple directions with many different formats. If you want to try it Ruby, you could download it and I could walk you through ripping a CD via chat.
If you already have the mp3 files, you can copy them over and play them. You can not copy the songs right from a CD over to the player though.
Actually WMA (Windows Media) files are a little smaller than MP3 files but I like my MP3's because I can play them on my Linux machines too. There's nothing wrong with WMA if that is easiest and you have no reason to play them on anything that doesn't support WMA.