Well, first welcome to the world of MP3 players. they are quite easy to use and if you know basic computers, you are all set.
first you should look at My Computer. upon connecting your MP3 (I'm assuming USB), you will see the MP3 player's name.
Double-clicking it will take you inside the MP3 player. For some manufacturers, they like to put folders to sort out the files, but if there are no folders, all you have to do is simply drop the music file (from your music folder) into the empty space.
It will transfer like a regular USB and after its done, you should be able to play it (after disconnecting of course). There are plenty of ways, such as using Windows Media Player for syncing and/or Winamp for the similar function, but what I suggested is the simplest and most basic.
Hope it helps.