I have found a workaround!
Today I thought of a way to get those media files inside my WinMo phone: cecopy.exe!
cecopy.exe is a program used to copy files from/to your phone, and it is included in the Windows Mobile Developer Power Toys, freely available at Microsoft site.
http://www.microsoft.com/downloads/details.aspx?familyid=74473FD6-1DCC-47AA-AB28-6A2B006EDFE9&displaylang=enOnce installed, I go to MB Preferences > Tools and configure it:
Name: [Whatever you want]
Application path: <full path to>\cecopy.exe
Parameters: "<URL>" "dev:\Storage Card\Music\<Album Artist>\<Album>\<Disc-Track#> - <Artist> - <Title>.<.Ext>"
With these parameters, my files goes to the micro SD card (not the internal memory), under the "Music" folder, creating the full <Album Artist>\<Album> path, and giving the file the name <Disc-Track#> - <Artist> - <Title>.<.Ext>, Of course, you can change this path to whatever works for you.
Don't forget to check the option "wait for application to exit before next file is sent", otherwise you'll clog the data channel to your device trying to copy all the files at once.
You get an ugly command-line window, but it gets the trick done, and in this window you can find out the progress of the copying process.