Turn it on by holding the button for several seconds
(I don't know which, it depends from the player,
maybe ">||", or you have the On/Off button)
Then, try to navigate through the main menu
using buttons ">" "<" (or similar)
until you will see the "Settings" or logo with tools on your screen.
Click "M" (or "Select", or another special button which player has) to select.
Now you're about to set up your player!