Forget about Windows Media Player. Your music files aren't 'in' that program. They're simply stored somewhere on your computer (possibly in the 'My Music' folder) and accessed via Windows Media Player when you want to play them. You don't need Windows Media Player to copy files across to your phone.
Plug the USB cable into your computer and your phone. Go to 'My Computer' (or 'Computer') on your PC/laptop and look for the icon for your phone. Double-click on it to show the phone's contents. There will probably be a folder named 'Music' or something similar. Double-click on it to display its contents. If the window is very big, resize it so that it only takes up part of the screen.
Then go to the folder where your music files are stored. (That might be by going to 'My Documents' and then to 'My Music'). Once again, resize the window if necessary.
You've now got two windows open side by side, with one showing your music files on your computer and the other showing where you want to put them.
To copy a single filer across, simply drag-&-drop it from one window to the other.
To copy a block of files, click on the first one, hold down Shift and click on the last one. (That will highlight the whole block). Then drag-&-drop again.
To copy a collection of separate files, click on the first one and then hold down Ctrl while clicking on each of the others. Then drag-&-drop again.
ALTERNATIVELY:
If you've got Windows 8, you can use the Windows Phone App to transfer files. (If you've got Windows 7 you can also use the app but you need to download it first from
http://www.windowsphone.com/en-us ). Personally, I can't see the point of it. Good old drag-&-drop would be good enough for me!