The MP4 player needs to be in the Mass Storage mode. You can check that by launching Computer. The device should be displayed as a portable drive. Locate the files on your computer and copy them. Switch to the partition of the MP4 Player and paste them and that's it. If you use an Apple product, you might need to install iTunes, the official application required for this operation.
Additionally, access the Device manager and check the correct driver installation. If there are any items marked with a yellow sign, right click them and select Update Driver then follow the instructions to successfully install the devices.