I don't think any mp3 player is likely to give you instructions on how to acquire audio and video files, as that all happens on the computer side.
But you can expect the instructions to tell you which file types it supports and how to transfer those to the device, and how to play them using the menu system on the device.
As it claims to double as a USB pendrive, I would imagine transferring files is just a matter of plugging it in to a USB port dragging and dropping them to the appropriate folder on the player using Windows Explorer.
Have you received the device, and does it connect to the computer OK?
The thing I would be worried about with such a cheap device is that the non-standard USB/charging cable supplied just didn't work, and then you'd be in the position of having to return it, as a standard USB lead wouldn't fit.
But as you've already bought it, and if it works, you might as well experiment with various uses and see if you use it enough to justify paying more for a better one.
Have you got a CD/DVD drive on your computer?
Most people start by ripping their CD collection to the computer (creating mp3 files) and then transferring those to the player to listen to on the move.
Most media players, including Windows Media Player, will do this easily.
You can also use a bit of free third party software like
Audacity to record from Vinyl albums or to record internet radio etc.
Or there are sites (and software) that will 'record' Youtube videos to your computer, or will strip out just the audio as an mp3 file.
However the instructions with the player certainly won't give you help with that, as there might be copyright issues. But googling will get you far.