I push the home button, but there is nothing that says settings.  The manual says go to settings.  Well, HOW do I get there?  The home button only gives me a picture of a headphone.  If I scan down, there are only five choices, none of them setting.

On my Clip+ if I press the home button(sometimes it needs to be pressed twice) I get to the main menu. My main menu has music, slotradio, FM radio, voice and settings. Which firmware version does your player have?

As noted above, try pressing the Home button x2–you seem to be “stuck” in the Music menu.