Confused on what to do. Need help!

OK, I got the Max Media Player, and it's alright, I guess. I hate it because I can't play Resident Evil and Metroid and basically any game that has FMV on it. I know it takes longer for stuff to load from the hard drive, which is why it skips when playing music and videos. I've read in other forums that you can swap out the HDD in the MMP, and replace it with it with a compact flash. So my problem is what is a compact flash? I was thinking of buying this and replacing the HDD. Will it work and stop the skipping and slow loading?

http://www.buy.com/prod/Seagate_4GB_...202014817.html

I'd say go with Sandisk, Because if you live in the US they have a lifetime gurantee. Which is good. Also, it doesnt skip because its faster than the generic one. HURRAY! I had a problem with the sandisk Ultral II 2GB, so i called sandisk and told them that i bought it on Ebay, and they'd said they'd give me a RMA for it. So, now i have to send them the card, and they'll send me another! AWESOME!

Thanks for the suggestion, but will this stop the skipping and slow loading of games if I get a CF card, or should i just get SD cards? I just want fast access and lots of space. That's why I was thinking of getting the 4GB version so I can put music and movies and games.