PlayCDG KJ Deluxe does not playing video files (AVI) or music files (MP3).
There is can be a problem in audio/video codecs. Try to reinstall it.
Windows XP, Vista, 7 - 32-bit: http://codecguide.com/download_k-lite_codec_pack_mega.htm
Windows XP, Vista, 7 - 64-bit: http://cavsusa.com/kb/index.php?action=artikel&cat=7&id=249&artlang=en
(There are many confusing banners on that pages, find and click on "Mirror 1" or "Mirror 2" to download the files.)