My new MP3 isn't opening up in File Explorer

Ok, so I go to plug my brand new MP3 into my laptop to transfer my music and stuff onto it, I notice that whenever I have it plugged in I get this one (F:} file open up within my Desktop file. I click it and all I get is 'Please insert a disk into (F:}.' I know it is not my laptop because it happens on other computers whenever I try plugging my MP3 into them.
I tried messing around with AutoPlay and even tried deleting/updating the F:\ inside the Portable Devices tab of Device Manager.
So did my mom just waste her money on a scam? Or am I just dumb?
 
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