What software did you have on the cd? Did it come with any software or cd when you bought it?
It might be that you need a converter software that will convert it to an .AVI file that your player can play. It depends on the chipset your player uses.
Try downloading the
UDisk Checker tool from
here and tell us what information shows up.
Depending on your chipset, you will need the correct converter for it and also the file types it can play.