Hi JW,
The ._song.mp3 is a file created by the Mac OS, usually containing icon/thumbnail information. Usually it is hidden on the Mac, but visible on the PC. It sounds like the player is not set up to ignore these files even though it can be opened/used on a Mac. If it is possible to use a PC or boot as a PC to transfer files, that may be your best option.
Alternately, there may be utilities to remove these "hidden" Mac files. I haven't looked for those because I normally strip them out on my PC or leave them if there isn't a need to get rid of them.
You will notice that ._filename files are saved onto thumb drives if you transfer files from your Mac and open the thumb drive on a PC.
It should be alright to format your player from the Mac using the current format settings. I haven't tried it yet from mine. I'm still trying to find out which version of the PC based MP3 player utilities will format my "4gb" player to its true 2gb size.

ops:
Nef