You can use Windows Media Player to create WMA formats of tracks from your music CDs. Before creating them make sure that you've turned Copy protect music off (found in Tools->Options and then the Copy Music tab of Windows Media Player). Once your tracks are in WMA format you can copy them to the Zaurus. Copy them into the Music_Files folder. You can copy sub-folders if you wish.

You can use iTunes to create MP3 formats of your music CDs. First, you need to make sure that iTunes is configured correctly. Go to iTunes->Preferences and click on the Importing tab and then in the Import Using list select MP3 Encoder. You can now select tracks in iTunes and then select Advanced->Convert Selection to MP3. The MP3 files will be stored in your music folders alongside the original tracks. You can now copy them to the Zaurus.