try this: Click on the Handheld picture in the action window (lower left of screen) to activate the PDA. Then expand the tree view of the Windows CE device above the action window, which will show you the top folders on the device, including your storage card, on the PDA. Drag the files/albums you want to copy onto the icon for the storage card (not onto the PDA icon in the action widow). Then "click here to continue" in the action window, and you'll see the files you dragged cued up to go to the storage card. Click the transfer button and away you go.
As to the coversion, go into Options when you're at the screen with the Transfer button and make sure "force file conversion during uploads is unchecked." That's the only thing I can think of, it's never been an issue for me since all I have are mp3s.
Having said all that, transfer to the a PDA via its conduit, as described above, is abysmally slow, at least for me. You might want to consider getting a USB2 card reader, which will show up on your system and in MC9 as another drive, and just copy them over. Just highlight the files you want to transfer, right click and Library Tools-> move/copy disk files, select the PDA's storage card and copy the files. This could be faster by a factor of 10 or more.