MP3 players can only play music files in mp3 file format. You can download mp3 music files from the Internet to your computer and then copy them to your MP3 player using the USB cable. For your CD collection, you need to convert your CDs to mp3 music files onto your computer or download them from the Internet and then copy them to your MP3 player after you have connected the USB cable to the MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player will create a MP3 music file for each music track. Click on this link for instruction on converting music files to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files