If your trying to put music on it, try using a media player like WMP or media monkey. If your trying to use it as a portable storage drive, change the USB mode. I believe you need to use MSC mode and not MTP mode if you want it to show up in windows explorer as a drive. If your player lacks the option to change the mode it uses then you can't do it.
No player should be read only, you'd never be able to put music on it.