|From your description I take it you're trying to move music files from CDs to your MP3 player using WMP?|
The files that show on a music cd in explorer are not the actual music files. They're placeholder files or virtual files (I'm not sure what to call them). They are 44 byte files named Track01, Track02, etc. and all with the extension .cda.
To get music files off a cd you have to use ripping software and then, because those files are in .wav format, you need to convert them to mp3 format.
I'm not sure if WMP has any ripping or converting features but I doubt it. It may be possible the instructions that came with your player will have a recommended way to do it.
If not, I just downloaded freeware called FairStars CD Ripper:
(near the bottom of the page) and it works just fine. You can even specify the format of the ripped file as mp3 so it will automatically convert from WAV to MP3.
Once you have them as mp3 files you shouldn't have a problem putting them on your player.