I don't know what noknowledge is talking about...
bdol4886346: open iTunes and go into your playlist that has the files you want to copy across. Now, open the place you copy music to on the mp3 player, by going into My Computer, then to the player's drive, and wherever in there it stores music (often straight there I believe). Now, just drag the songs from iTunes into the other window, and they should copy across.
However, make sure the songs are in mp3 format if your mp3 player only plays mp3 files. And you can't do this with protected AAC files, whatever player.