There is no “language folder”. This is not something you can change while connected to your computer.
If it is a new unit, the first time you start it, it will ask you to select a Language, and then a Region.
You can also change the Language at any time by going into Settings (equalizer icon) > System Settings (4th option down) > Language (4th option down) > English (1st or top option).
If you had checked here or even the SanDisk Support page, you could have discovered this and saved yourself sending the unit back to Amazon and would be enjoying the player now.