As was suggested by Tony, there's software to do it. However...
The truth is, you bought a player without bothering to check how well it'll work with a Mac, and one that doesn't really work at all without third-party software. Unless you somehow have a chronic aversion, I would think it smarter to get an iPod or (if you must be cross-platform) a Sony Walkman S600 or S700 series player. Those are fine players and at least work on the Mac through drag-and-drop without needing special apps.
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You can do it, but...
As was suggested by Tony, there's software to do it. However...
The truth is, you bought a player without bothering to check how well it'll work with a Mac, and one that doesn't really work at all without third-party software. Unless you somehow have a chronic aversion, I would think it smarter to get an iPod or (if you must be cross-platform) a Sony Walkman S600 or S700 series player. Those are fine players and at least work on the Mac through drag-and-drop without needing special apps.