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Make sure your micro SD card is formatted as FAT32
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What folders do you see in the root directory of the player using FINDER ?
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I am a recent owner of the Clip Sport. Possibly the system of folders in the Sansa Clip+ is not the same as SanDisk Clip Sport
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Here is a link to the discussion of the most recent FirmWare for the Clip+
http://forums.sandisk.com/t5/Sansa-Clip-Sansa-Clip/Sansa-Clip-Firmware-Update-01-02-18/td-p/280756
There are several guru-level forum users here who will likely contribute to this discussion with more expert advice.
Best Wishes