First find the mp3-files that you want to copy to that player on the hard disk of your computer.
Use your favorite search tool (such as search options in Windows Explorer or My Computer, the freeware Ultrasearch or the File Finder in the free version of Powerdesk). Those are the search tools I use. You might find the 'wildcard' *.mp3 useful to search with.
Of course, if the player supports other formats like .wma and .ogg, include those in your search also.
Quite a lot of players simply get a drive letter if you connect them to the PC. Then you can use Windows Explorer or My Computer to copy them from the location where you found them to the player.
Quite a lot of other players come with some 'management' software that you must use to copy files from the PC to the hard disk. A good example of that is the iPod, that comes with (well, you have to download it) iTunes.
The user manual of your player will tell you how copy the files you found.You didn't tell the details (like the model), so nobody can tell for sure.
You only need converter software if the music files on your PC are in a format (file type) that the player doesn't know about and can't play. Then you use it to convert that specific format to one of the formats that it can play before you copy it to the player using the appropriate method. But - because a mp3-player by definition plays mp3-files - that won't be necessary for files on your hard disk that already are mp3.
Kees