Did you set up an ‘E-Box’ on the SanDisk site? This is how they communicate with you, not through your private e-mail address.
In this E-Box, you should find a message with a link in it, that when you follow the link it will take you to a printable shipping label page. You print this out on your home computer/printer and attach it to the package containing your defective player. Using this shipping label assures that 1.) the package gets to the right place, so it can be received and verifed defective to expedite your replacement and 2.) SanDisk pays for the return shipping, so you don’t have to.
The number they gave you could be your case, or reference number, or it could be your RMA # (Returned Merchandise Authorization).
