Can anyone recommend an MP3 player that comes with a speaker?

...for say £40, ish

Just get a Sansa Zip and buy a rechargable Veho 360.

£5 for the Veho and £30 or much less refurbished for the Zip.
For better, make sure you go by the RMS speaker wattage reading.

For non movable I would also say check out the vast array of DAB radios. They can sometimes have an SD slot to also play mp3 .

Thanks for the suggestion. I would prefer one device that is small and easily portable. Thanks.

The Veho 360 M4 gets great Amazon reviews, not too sure what aspect on though.

If it is a real 4.4 watts as stated, then it is certainly decent.
You need to add about £7 for a 16GB card.