How do I connect my MP3 player to Napster?

I've downloaded music from Napster and put it on my SanDisk Sansa m250 player through Windows Explorer, because I couldn't find out how to connect it directly to Napster. Now, the 'please sync...' message won't go away. I just started using Napster earlier today. How do I connect my player to Napster? It says to plug in your player with Napster open and a window should pop up, but it doesn't.

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