Ok, assuming you're using windows, connect the mp3 player.
Go to my computer and identify your player, probably will be drive 'e' or another letter after that and be labelled as external device.
Right click on it, this brings up a drop down box. Click on Properties. Does it tell you what file system it is using? It will probably be FAT 32 or NTFS though not neccessarily.
It should also tell you the size of the player's hard disk and how much is used.
If it is one of those file systems, from the same drop down box you got from right clicking select format, then select the correct file system, then format.
Then try loading some songs on and trying it.
If you need more help ask here.