I had a heck of a time figuring out how to get the media files to play on Anki when I downloaded them to my computer and then imported them to Anki. After a very long time, I realized that when I was unzipping the files (I use Windows Vista) I would get a message ‘Encryption Error’, “Confirm Encryption Loss: Do you want to copy this folder without encryption?”
I didn’t know how to proceed, the options are ‘yes’, ‘skip’, or ‘cancel’. I kept choosing ‘skip’, as I did not want encryption loss (assuming that it was the Japanese or media aspect, but apparently it has to do with Mac files that are not readable from a PC.). Then I would end up losing the files I wanted to keep!
If you just choose ‘yes’, all files are transfered, and importing both the deck and media files to Anki works perfectly, as per Koichi’s instructions.