First - what operating system are you using? That can definitely help figure out what’s going on.
Second - is the player showing up in Device Manager? If you are using XP and above, the easiest way to check is:
Start –> RIGHT-click on My Computer –> select MANAGE –>DEVICE MANAGER (will be under system tools in the left pane)–> Universal Serial Bus Controller (expand by pressing the plus sign)
It *should* show up under there - in some versions of Windows there will a heading along the lines of Other Devices somewhere in the Device Manager list, check there (if it shows up).
If you’re able to find a listing for the player, right click and select properties and let us know if there’s an error of any sort showing up under Device Status.
Worse comes to worse, if you dont’ feel comfortable doing that, go ahead and call tech support - they’ll be able to walk you through some steps and troubleshooting over the phone.
Good luck!