It depends. Some mp3 players are USB mass storage devices. They're not much different from common USB flash thumbdrives and harddisks. It should show up as an extra drive in My Computers as soon as you plug it in. You can usually put files in them by drag and drop. But only the audio files will play.

Others are USB devices, and as such, require drivers. Try to search the manufacturer's website and download one.

And switch on the player before connecting it to the computer.