Go to Start > Search and enter the file name as *.mp3 This will locate all files in mp3 format on the PC.
I'm happy that the previous paragraph is accurate but, since I don't own an an MP3 player, it's a bit of guesswork from here on. As I understand things (solely from reading other posts on AB), when you plug in an MP3 player to a USB port, it should show up as an additional drive. If so, you should be able to see the icon for it when you double-click on 'My Computer'. (It might show as 'Drive E' or similar, depending on what other drives are already connected). Double click on that icon and you should have a window showing the contents of the MP3 'drive'. If you've got this window alongside the search results window you should be able to 'drag & drop' (or 'copy & paste') between the two.
I hope that i've got that main paragraph right. It won't do any harm to check it out. If I've got it wrong, I'm sure that someone else will soon post to put things right.
Chris