Bump for help.

Ah...I see.  I did the same thing,  Tried to load 20 some files on there.  I'll have to try it at lunch with only a few.

It worked for me.
1. Download the Studio app.
2. Use the Studio app to generate an LKA file.  You can use LKD files from the web or create your own in the Studio app.  One LKA file can contain 2 background pictures, one background video and one movie.
3. Once you've generated an LKA file, burn it to a CD-R.  It should be the only thing on the CD.
4. Follow the instructions in the radio's manual for loading the LKA file.  Once it's loaded, your custom stuff shows up in the Entertainment menu.

More info:

I've found that AVI files work better than MPEG-2 files.  When you convert MPEG-2s to movies or background videos, the playback is jerky.  AVIs are smooth. 

I created movies from Bladerunner and Star Wars last night.  They look pretty cool.

How are you burning the CD?  I use Nero Burning ROM, and I close the disc (not multi-session).  I don't know if all of that is needed, but it works.  When I tried using Windows CD burner it produced a CD error on the Pioneer unit.

You can do it with Windows Vista but you have to switch the burning format on the Burn a Disc screen. Switch from Live File System to Mastered and it will work with no problem. I just got Episode III loaded on my radio.