Hi kmc266
The mp3/audio player that you have wont affect the binaural part of the track. What will affect it is the bitrate at which you set when converting your files.
Although Im not familiar with the Zen software, try having a look in the converting settings and if its available make sure that the mp3 setting is at its maximum quality, ie 320kbps. I have found that at this setting all parts of the track are maintained and as clear as if you were listening to the original cd.
Also have a listen to the tracks you have converted on your Zen player and if you can hear the faint sound of the Holosync hum in the background (listen carefully) then your tracks will be fine.
I hope this helps
Simon