do you have mp3s on your computer?
do you run windows XP or windows 2000? if so, just plug the thing into an empty USB port, and after a few seconds it should pop up in My Computer as a removable drive. just copy the music you want to play onto that drive, like you would do with a floppy disk or something. Once done, take out mp3 player and play music.
to store music, organise and generally listen to music on the computer, i'd recommend using iTunes:
http://www.apple.com/itunes
with it set to rip CDs to mp3 (aac is its default)