Good Evening!  Well the way I do it, is through Power CDG burner at 
www.powerkaraoke.com and once you download it, you just rip the cdg's into your computer and it will convert it to mp3+g for ya then just go to your Karaoke program and import it!  Although you might have to name the file correctly, I have Compuhost and when importing my mp3+g's I have to enter it as follows:
disc#-01 - artist - title.  Here's an example 
7544-05 - 4 Non Blondes - What's Up
so it's: disc#dash track number space dash artist space dash title.  It's all about the exact way it wants you to import it.  And if Power CDG burner is too much, I know there are a few others out there that are free and I believe audiograbber is a free one!!!  So hope this makes sense, I know at first I didn't have fun with this!  But I got it down now....WOOT WOOT!!!
Tray-ZZZ