Per powerdvd user guide, your mp3 player should be under the device and home media tab, but won't show up at powerdvd file explorer.
https://www.cyberlink.com/support/powerdvd-ultra/userguide.html
Is your mp3 player detected by windows explorer?
If it isn't detected by Windows normally, and you cannot manually copy files to your player via Windows explorer, it is expected that powerdvd cannot find the device, either.