Look at the quick start guide that came with the device. It should tell you which folder you need to copy the mp3 files into. You plug the device into your computer using the USB plug, then copy the files into the music folder, just like you would copy files into a folder on a thumb drive.
Oh boy. Probably unfixable. I tried to art once, but trying to music is just absurd. But seriously, try redownloading the files.