FAT, FAT32 NFTS help with MP3 player???

I recently got my first mp3 player and i'm having problems with the files, often once loaded from WMP to the mp3 the files disappear even though WMP has them listed as been on the mp3. Sometimes the text comes up as strange characters. I consulted the manual to format the mp3 and start again, the manual states to format the mp3 in FAT, however Windows2000 won't complete FAT format it will only format in FAT32. Another option that comes up is NFTS, the user manual doesn't mention this. Anyone know what I should do?? Any help needs to be in easy techno-phobe language, sorry!!!