MP3 newbie

Question

I purchased a MyMusix MP3 player PD-6110. It doesn't have software with it the guide says: connect the device, double click my computer and you will find a new icon "Removable disk" which represents your music player.

When I do this there is no "removable disk" icon. There's nothing. What did I do wrong? I'm not very techie but even I can plug the device in :)

Any suggestions? Thank you.....