Plugin: MP3 Player FX

Let me say, I’m still quite new at WordPress.
First, it says that I need to create a folder in the mp3-player-fx folder. I have no idea how to create a folder. The plugin’s website only states to do it, not how.
Second, once I create a folder, how would I upload my songs into the folder? There is a place to add new media, but it states that the songs are too large.
Third, I would like to have an image that customers would click on to begin the player. What code would I have to use to get that to work?
My website is everythingaudio.biz, but currently, you will not see any music links, etc. on the site.
Thanks.