Try playing them with Realplayer.
http://www.real.com/
If they are compatible with it, they are compatible with SH3. Have you named them in their numerical order (i.e.: 001, 002, 003, etc.)? Problems have arisin from that. Finally, you might consider updating SH3 to the 1.4 patch (best one of them all; I use it and I have no gramophone problems, compared to what I once did).