|It should have drive letter when it's plugged in but sometimes Windows fails to give it one, so it doesn't show up in Windows Explorer.|
Assign a letter to it manually in:
Control Panel > Admin Tools > Computer Management > Disk Management
In the right-hand pane (bottom section), find the horizontal ribbon that relates to your mp3 player. Right-click over it and choose "Change driver letter and path".
Click "Add" then choose a letter from the drop-down box or leave it at default.
Now click 'OK'.