First you have to 'rip" the music from the CD to "wave' format then convert "wave" to "MP3"
Here is a program that is easy to use, this pprogram can also rip and convert in 1 step
Then you just copy the MP3 file(s) to your player
http://cdexos.sourceforge.net/downloads.php
You should do some research on Mp3 players, So many manufacturers are paranoid about file swapping so they make their players use some kind of software interface to put music on their devices to prevent you from sharing your music with others. I do not know if anyone is making an mp3 player these days that allows you to simply copy and paste your files to it. If anyone knows of one please post it.
When you attach the lyra to the pc does it show up in windows explorer as a drive letter? If so see if you can copy a small file (any file will do) to that drive letter, and then delete that file you just copied. If this works then you can use CDEX to convert your CD's to mp3's then copy and paste some mp3 files to the lyra drive letter, and then try to play them on the lyra, if they play you are set, then you don't need MM. I have used CDEX with win98, works well.
Hope this helps