MP3 Player dead

You need to inform of make/model in order to help.
Most MP3 Player's can be recharged by USB connection to PC or have rechargeable batteries where some of the low end models cannot be recharged and would have to be replaced

As mentioned above, it is usually not necessary to change batteries in the device unless the battery has reached the end of its life which is not the case with your MP3 player. Lithium-ion batteries in MP3 players are typically charged in one of two different ways: (1) through a charger that plugs into a wall outlet and connects to the player, or (2) through a USB (or FireWire) cable that is used to connect it to your computer. Since it sounds like you did not receive a charger with your MP3 player, your MP3 player probably charges via a USB cable that came with the device. Plug the USB cable into your MP3 player and the other end into your computer and you should see a message that the MP3 player is charging!

I had a similar situation and was amazed at how long it took to show any sign of life when charging from dead via a USB port. It might have taken over two days; I cannot be sure but it was certainly more than one day.

I'd agree with KASSEISTAMPER above. My old Ipod, looked totally dead, but I left it plugged in to my PC for a couple of days and it eventually resurrected itself.