hi quasarlyte
You say you are new to linux, so i guess you are a windows user. This means that you can use your cf card both with your reader/writer and with your zaurus only if the card is formatted as Fat. This is the default format for those card, so it won't be a problem at all.
Basically, you have to think about your zaurus as a laptop with a cf reader/writer. Your cf card acts just like a floppy or a cd rom. this mean you can transfer on it any kind of data.
If your zaurus has the needed program (video player for videos, etc...) you can any file you want from anywhere on the Z, just like you can with your Desktop pc. You'll find the datas that you wrote on your cf card in the /mnt/cf/ directory. 'mnt' stands for "mount", and in this directory you'll find all the external storage devices. For exemple, /mnt/card is for sd card.
So if you want to listen for a mp3 file, copy it on your cf card with your reader/writer, plug the cf card in your zaurus, open the multimedia player, and open the file that you will find in /mnt/cf/
I hope my non absolutely proper english will help you.
I guess you will often have this kind of newbie troubles, we all have had them. But hold on, it wothes the pain ! And welcome to OZ users community