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You might have gotten a charger (it has an usb connection, use the provided cable to attach it to the player) and a converter in case the charger doesn't fit the wall socket. Check the charger for the voltage rating. Put the charger in the wall socket before you attach the player to it, it will avoid a blowing charger taking your player with it.
The battery cover has a sturdy fit indeed. It slides off, but you have to apply a lot of force, be careful not to put force on the screen.