New Clip Sport

I just got a Clip Sport and am charging the battery, the instructions say go to my computer and click on the Clip Sport icon. I have looked and there is no Clip Sport icon anyware

Simply the drive letter that the computer has assigned to the Sport.

Actually, you should see 2 new drive letters, like F: & G:, or G: & H: for example. The 1st one will be the player itself, while the 2nd one will be the card slot (for the external memory card). This will show up whether there is a memory card inserted or not.