What brand & model of player is it? Different players have different techniques. Some you can just copy & paste into the mp3 icon on the desktop when it's connected to the computer. Some, you need an intermediate program which acts as a media manager. See if the player came with instructions & also see if it came with a cd. If there's a cd, then that might have the Media Manager program on it.

Not all players come with instructions or very good ones. So if you can tell us the brand & model ...