I think ScottC may be onto to it. I was told by a store rep today that the Memory Stick was primarily for "data" (meaning photos, I think). If I wanted to use it for music, I would need the Memory Stick Pro (aka Magicgate). I'll experiment over the weekend.

To address a few of the other questions, I have tried RealPlayer, Windows Media, and Sonic Stage which came with the CLIE.

More later. Thanks for the comments.