Windows Media Player an be thought of as an aircraft carrier with music on deck. If you are trying to get into port, you’ll need a few tugboats.
The Set Up Sync function can be your friend. Check it out. WiMP is trying to sync “all music”, “all pictures”, and “crappy TV shows from the 1960s” if you’ll let it. The double list that shows up in Set Up is a marvel of Microsoft: it is listed backwards, so pull the items off from the list on the right.
In any case, if using WiMP to transfer music, you can select “cancel” when the application asks of it can play with your Sansa automatically, and opt for manually selecting your music.
Bob 
