You need Firmware above 266X to play anything bigger than 2GB SD Cards
To add music to HDD select media. Press Selection, Then for example if you have a list of Folders containing music on a Disc they will be listed. At the right of the label you will see a small square box. Press that and you get the Option to Play or Copy. Hit Copy.
If you want to copy and Entire CD/DVD/SD Card press the folder icon in the top left corner till you have a list of options that say something like CD, SD Card, HDD etc. Press on the Square next to the one you want to copy and again you will get the Play, Copy option. Just press Copy