flaviorodrigues, have you charged it for at least 3-4hours? Try charging for at least this amount of time. Also, try charging with the AC adaptor if it comes with it.
If all these still fail, it's likely that your battery could be damaged/old and does not hold its charge as it should. There are replacement batteries available on eBay
Here. But it involves you opening the player and desolder the old battery out and solder the new one in.