Fred -
1st,
To select the folder to put them in, just go to the top of CDEX and click options, then settings, and then click the "filenames" tab. Then click the "WAV - MP3" button, and it will let you browse which folder to put them in. Once you find that and select it, that is where your songs will go.
The 2nd button down on CDEX on the far right is the "Convert track to mp3 button" if you have the version 1.4 like I have. All you have to do is put the CD in your CD-ROM, and the track list should automatically appear in CDEX. Just select the 1st song you want by clicking 1 time with your mouse, then push down your control button (right under shift) and click any others you want to convert. Once you select the tracks, click the convert track to mp3 button and it will convert them.
Hope that helps.
Oh - one other thing - the quality of the song has nothing to do (or shouldn't) with CDEX. Your system could be low on memory if you get a jittery playback, or the CD could be messed up. Try re-booting and playing it again before you open any other programs.