Have you synced music playlists over to the Fuze? Or is this your first attempt?
.wpl is a Windows Media Playlist. It tells Windows Media Player where to find the file. It is not the actual .mp3 file that needs to be played.
You need to get the .mp3 files themselves onto the Fuze. Are they being saved to your Windows Media Player library? Go into your WMP settings and see where the library is and click your way into that folder.
If the site did actually download the mp3s onto your computer, then I’d suggest, at least for testing purposes, that you get WMP out of the picture.
Go to Settings/System Settings/USB Mode and change it to MSC. This makes the Fuze look like any other drive. Connect it and you’ll see Sansa Fuze and Removable Disc in Windows Explorer (Computer or My Computer). Removable Disc is the card slot–even if you don’t have a microSD card in there.
Make a folder on Sansa Fuze–call it anything you want, like Sermons. Copy over the mp3 files into that folder. Then, under Music, roll down until you see Folders (it’s on a second page), look in Sermons and you should have files to play.
DIGRESSION: If you don’t see Folders, update your Fuze firmware with the manual method here. It gives you Folder navigation and fixes a lot of little bugs. Don’t download and install the Updater, because these versions are the final updates.
I don’t use WMP, and there’s probably a way to do this through WMP, too, but the actual files have to be stored on the Fuze, and it doesn’t sound like they are getting there. You might want to look in WMP’s help files. I believe the Fuze uses .m3u or .pla playlist files, not .wpl., but if Windows Media Player is recognizing the Fuze and synching correctly, it should send over the right playlist file along with the mp3s.