There are lots of ways, depending on which player it is and what media software you have on your computer. The player's manual will tell you - if you don't have it you may be able to find it on the Web through Google.
The simplest way, which most players will handle, is to find the music files you want on your PC, right click on their names - you can do almost any number at once - and selct "copy to" from the menu that appears, selecting the player as the destination drive.