If it's a regular flash memory key -based player, without databases or extra software needed (unlike iPods, some Creative Zens etc.), you should be able to mount it manually, or it should even work out automagically (those devices usually use a FAT filesystem). For example, as privileged user
mount /dev/sda1 /media/usbdisk
if that fails, then it's not a regular flash memory key -based player. The above command tells if the filesystem can't be read or if there's another problem (note: if the device file is not sda1, change that to the correct name; sda1 is used for primary scsi device's first partition, like usb sticks for example, and after that sdb1 etc.)
Then if it's not a FAT-formatted flash memory that you can simply mount and copy files onto, you'll need special software. Did some driver+software disc come along the product? Are you supposed to use a special program to transfer music to it, if using Windows? In that case you may try software like Amarok that can hopefully handle the device, or search the web for software that runs on Linux and can talk to the machine. There is no sane reason for manufacturers to create mp3 players (or any other simple things) that have strange filesystems on them, use mad databases and so on so they need manufacturer-provided software that is not available for more than one OS. iPods are cool as long as you don't actually ever plug them into a computer; they work best on Mac, next best on Linux and worst on Windows (iTunes probably just trashes the thing, like happened on me). Creative players are no better things; Amarok or some other programs, if they're new (versions) enough, can handle those, but old versions can't and without the heavy programs you're out of luck. Just to play mp3 files...a big mess.
I encourage buying flash memory players that you simply plug in, drag files onto, eject and play.