I transfer a music file onto the usb disk and then it wont play off of the usb extension

Your camera will use a pre defined directory to store pictures and videos, it will use this same directory to display pictures and play back videos. You cannot change this directory. What you can try and do is add the music to the same directory where your photos and videos are and hope that when you browse through your pictures and videos on the camera that it has a codec capable of decoding your audio files. For the most part at the moment you simply transferred the files onto the memory of the camera, this does not necessarily mean that the camera will be capable of playing those files back. What you can do however, is hook the camera up to another device that is capable of playing the files (like another PC) and transfer your files onto it and play them back there. There is no guarantee that your camera will be able to play back your music files that you have transferred. You will have to find out what file types the camera supports for playback and convert your music files to that if possible (which it may not be).

Is there anything in the manual or promo material that says this is possible? If not, then it seems unlikely that you can do it, surely?

What model number of Pana?

If you mean you can't put the MP3 files you downloaded onto the player, then you simply need to plug the player into a USB port on your computer -- either directly into the port (for some player models) or via an extension cable.
Once you've done so, the computer will "recognize" the player as a new disk drive, and assign a drive letter to it. Your computer will normally inform you via a pop-up, that it found new hardware.

Now just use Windows Explorer to drag and drop the mp3 files onto the new drive. This loads the files onto the player. Once the transfer is complete you can unplug the player, and it's ready to go.

ive got the new version of the sony sonic stage downloaded onto my laptop,and when i plug my player into my laptop via usb cable,the player itself is recognized straight away as a harddrive/removable disk etc,and you have to transfrer music onto the player as from sonic stage music library,and you also have to creatate you own music library via sonic stage,and u can also transfer music from your own music library wich you use via windows media player,and also u can transfer a cd into you sony sonic stage music libraty,and this is similar to when your using the windows media player as to rip a cd or transfer music onto an mp3 player,as i use all diffrent types of mp3 players myself,and i find the archos gmini sx 202 player to be pretty awesome player,as ive got to of them as well,and i use windows media player as to transfer music files onto them,and i cannot transfer any music files onto the sony ones via windown media player as those music file wont show up on the player at all,and ive tried this myself,and it will only work via sony sonic stage.

buy a micro sd card from any electronics store, put it into your computer(card reader)move selected songs over to the card, take it out of computer and put into phone. Menu,media center, music and tones,my music

What's the music format of the songs that you placed on your mp3 player? Some MP3 Players only capable of playing song files with .mp3 extension and are incapable of playing other music format like wav, wma, etc. Check also the contents of the player for corrupted files and foreign files. Some viruses from a computer could affect the performance of your mp3 player.

try transfering them from a different music system

Follow up to the instruction given by rtujillo. Change the settings of the player to MSC (SETTINGS>USB MODE> MSC) connect the player to the computer and you should see the player listed in the My Computer window with a drive letter. Now just drag and dropped the songs to the player. The songs file format should be compatible with the player.