lol no problem mate

Give you a basic speel...
MP3 is the standard format that everyone now supports, it is a lossy format which means that it removes certains parts supposedly unhearable by the human ear to allow the filesize to be significantly smaller. Bit rates higher than 128 (cd quality) are recommended by me because 128 is rubbish to my ears. 192kb is fine though but....
WMA is similar to mp3 and is also lossy. I think an 128k WMA sounds better than the equivalent 128k mp3 and also is smaller. Sometimes it requires more processing and uses more battery life however but this is negligible. iPod does not support this and neither does the Sony HD5 but it has been around for ages.
ATRAC is sonys own format and only useable by sony stuff. It is basically a very good sounding format that is very small in filesize, thats all you need to know.
Ogg (Vorbis) is an open source format and free. Vorbis is the the audio compression. Flac can be embedded in Ogg...
FLAC is a (free) lossless (audio) compression format = very good quality but massive filesize. Lossless basically means it retains the original data from the CD but reduces the filesize.
AAC is a format used mainly by apple (iPod) and is similar to WMA in that it sounds better than equivalent bit rate mp3's.
I use ATRAC or mp3 192k for my HD5 player but previously I used 160k WMA files as I thought these sounded better. Try some and see what you prefer. iTunes uses AAC files supposedly if you go the iPod route.
People will argue that some formats are better than others but it is purely subjective. Lossless files are very very large in size, so unless you're a purist then don't bother with that type.