Turn the HOLD button OFF and make sure the SHUFFLE button is on SHUFFLE and you will then be able to delete songs and add songs, if you use VISTA like myself right click on the icon for your MP3...
There is usually a lock/hold switch to stop you from pressing buttons accidentally. This may also force the device to be read-only. Make sure that it is all the way back, as it may lock read-only...
open it up in an audio editor...i use audacity...if it wont open up in that, open it in notepad or something and there should be a short portion of readable text...delete it