Make sure the file is on the Sansa.
Hit the Home button and click to get to Music, then Folders and make sure the mp3 file is actually in there.
It has to be mp3 (or other formats the Sansa plays)–not Apple’s m4a or other formats.
You can also try putting the mp3 in a different folder. The most straightfoward way to do that is go to Settings/System Settings/USB and choose MSC. Connect the Sansa and it will show up as two drives: the unit’s internal memory and the card slot (Removable Disk). Make a folder on one of those drives and copy the mp3 into it, then use Folders to find it.