There are so many different abbreviations in the technological world that it is hard to keep up with all of them. Many people just give up and they do not know how to save files correctly because they do not understand that file format or they cannot transfer music because the files are different and they do not know why. Problems like those can be solved quickly if there was just a better global awareness for the meaning of the abbreviations.
JPEG is an image type. This generally refers to a static image, while a GIF refers to an image that has movement. When you save files from the Internet, you have the option of saving them in this file type. There are benefits and drawbacks to both choices but you should be aware when you make the decision. When you save something (such as a .pdf) as a JPEG, you are setting it so that you cannot change the words that are on the image and it exists as though you took a picture of it. You cannot change it. However, it is smaller than a .pdf and it can be sent more easily.
MP3 files are different from MPEG-4 files. iTunes (and the entire Mac operating system) is the only program that uses MPEG-4 files in addition to MP3 ones. If you have Windows Media Player, then you are able to play MP3s but not MPEG-4s. That could by why you had so much trouble making the last mix CD for a friend.