>>>it tells me to connect the player to my PC,double click MY Computer, look for the cd rom icon and click SETUP exe When I do this there is no set up exe file?
The instructions clearly assume that the product was supplied with software on a CD and that you've put it into your computer's CD drive (as well as plugging the MP3 player into a USB port). Have you got a CD and have you put it into your computer?
>>>What does "Set the online device of the player as USB disk" mean?
A bit of a guess here (because that sentence actually makes as little sense to me as it obviously does to you!). I'm assuming that it means 'get the MP3 player to be recognised as an external storage device by your computer'. If the MP3 player already appears as extra drive when you plug it into a USB port and go to 'My Computer', I wouldn't worry about it!.
A lot of the time you don't need the software that comes with things that can work like external drives (where 'things' here includes, for example, cameras as well as MP3 players). You can simply connect them to a USB port and use Windows Explorer to move files to and from them as you would with, say, a USB memory stick