First, though I doubt it will work, go to Setings/System Settings/USB Mode and change it. There are two modes, MTP and MSC (and Auto Detect, which is useless). Change it to MTP, which is the mode that allows Rhapsody to control the unit, and try transferring again from Rhapsody.
If that doesn’t work, transfer without Rhapsody. Rhapsody will have ripped your CDs and put the files somewhere on your computer. Look in Rhapsody’s settings to see where it is keeping your music.
Then put the unit in MSC mode, which makes your computer see the Fuze like any other disc drive. Two, actually: one for internal memory, one for the microSD slot. Connect, and look in Windows Explorer (Computer or My Computer) to see two drives, one called Sansa Fuze, the next called Removable Disc (that’s the card slot for the MicroSD card, whether or not there’s actually a card in there). They will be consecutive letters, like E: and F: . Open the Fuze or the microSD (if you have one) drive, open Rhapsody’s library folder, and drag your selected album right in there. Easy, huh?