Format ?

[tbone1]

I've downloaded several of these awsome sound files here and tried to burn them using windows media.
The problem is it tells me to insert readable disk (I'm using CD-RW).
It then prompts me to reformat im guessing MP3.
I then burn it to my CD-RW and install it on my 360 dashboard.
It will play on my 360 but will not recognize it or let me create playlist.

If anybody could give me specific instructions as to what I could be doing wrong I would greatly appreciate it.
Please be specific as im kind of a computer moron.

thanks in advance