Let's get this organized:
JPGs - put them into \DCIM\100MSDF
MP3 - \PALM\PROGRAMS\MSAUDIO (mp3s should be 128Kbps, Stereo for good results)
MOV - You must convert first. Use "Image Converter" to make the file a MQV. After which, you can have the converter install it for you (if you are running MS Import on the Clie) or do it manually: put the files in \MQ_ROOT\100MQV01 .. and yes, the file name will be changed to something like MOV00001.MQV automatically from the converter.
SWF - Put the SWFs in the directory \PALM\PROGRAMS\MSFLASH