Computers like to take over and make it easy for you!

However if you look with the normal file explorer you should see the MP3 player under My computer just like another disk. You should be able to drag and drop files across to it. I find opening two explorers helpful, one looking at source files and one destination, its easy to select in one (right click copy) and right click paste in the other. Selecting files while holding Ctrl down will let you pick a random selection to drag or copy across.

(on the keyboard Ctrl C is cut, Ctrl V is paste)