You didn't list a brand or type, but for the most part, modern MP3 players don't have a "power switch" per-say. Most just go into a low-power, or 'sleep' state, but technically stay "on" all the time. There are still some that can be turned off completely, including some of the ones that 'go to sleep', by using a special key sequence. The method is specific to each model, and I would need to know the brand and model to help out any further.