When you search for files, the icons you see represent the program that will attempt to open the files (the default program for that type of file). That does not mean that you have the appropriate codec necessary to open the file.

Info on Codecs & Alternative Players

You can either download the codecs to go with your current player (WMP) or you can download another player (VLC is good) with the codecs built in.

This should answer your second question:

Windows Media Player 10 Guide - Adding to your library and burning a CD

Hope this helps