All you have to do is tell media monkey where your music is and it will read it all into its database based on tag and filename information. It will also ask you if it can scan your WMP database, and if you answer yes, then it will add all the tracks and information that you had in WMP (or Itunes for that matter). It is very easy to use.
As for your phillips player, it sounds like you havn't actually tried it with WMP11 yet, and are just worried since you have read about a problem on a user review site. If this is the case, you may well be worrying about nothing, the user who wrote a review saying they had to roll back WMP11 to 10 could be a unique case and it could have been any number of things causing the problem, reinstalling WMP is a fairly blunt instrument way of problem solving, it doesn't necessarily mean that WMP11 won't work with your player, just that a particular user had some problems and rolling back fixed it.
When you get your player, just try it with WMP11 to see if it works for you. Give Media Monkey a try anyway though, it is much more powerful and works well with nearly all common formats and portable devices. If you pay for the full version (about £20 for a lifetime licence including all future versions) then it will also manage /catalogue your physical CD collection, can auto convert your music to loads of formats as it transfers it to a portable player depending on the formats that the portable can support, and automatically keeps track of your collection, even if you modify it in another program or just move files around.