you mean what can't you use in a filename in windows? well, your files must all end with extensions for a start (from what i remember, it's all mime types, not extensions with a mac), and they must all be less than 12q8 (or is it 112?) characters, although i think it's less than that for a CD anyway.
i think (and i could check this except i am not using windows right now! (hooray!)) that the characters you cannot use are \ ? ! " * $ | + and maybe one or two others (and / is allowed!). is anybody using windows reading this? if you are, you can find this out by trying to rename a file to ! and you will get a helpful dialogue telling you all the forbidden characters. oh yes, and the file won't be renamed either, so no need to worry about that.