One last bit of info is that within the mp3 (i.e. sound) file is a "tag" which can identify the artist, track name etc. This is why, when you play it and listen to the song, you can be told of the song name, album and everything else.
Apart from listening to the song, do you mean anything else by "how do you use them" ?
If double-clicking on them doesn't already open them in Media Player then right click and "Open With.." and then add the song to a playlist.