Problems with saving a new program.....

Here is my problem, I have a 2000xl and a CD Rom drive that I load drum sounds from. After I load my sounds and assign them to the pads I go to save the program with the sounds to my CF card. After saving I turn off my MPC and turn it back on to see if the program was saved correctly and if it will load with the sounds and of course.... it does not. I have tried saving each individual sound then saving the program and that doesnt work either. Any help on how to fix this would be great. I tried a search and couldn't find what I was looking for and of course, I read the manual......

Also, when loading the program I get a message saying that the sounds that are saved with the program cannot be found.....