You bought mountain bike shoes -- which are perfectly fine to wear on the road and with a road bike, by the way. Much more walkable. As a result, you can use mountain pedal systems, which include SPD, Speedplay Frogs (not X series or Zeros, those are road pedals and will not work with your shoes), Eggbeaters, and others. But you cannot use road pedals. If you really want road shoes/pedals, you will need to exchange for a flat soled pair of Sidis (which will not work with SPDs).

Having used both, I'd stick with the mountain shoes if I were you. I love Speedplay Frogs, by the way -- just switched to them from Eggbeaters. I have also got road shoes with Speedplay X-2s, but I am a convert to mtb shoes and like the Frogs and walkable shoes better!

HTH,

Emily