Loading music is incredibly easy. Simply plug the Micro Sport into the USB port of your computer. It mounts like a USB thumb drive, and you simply copy over any MP3 files you want to play. Also, USB serves to charge the built-in lithium battery, using the included cable (which is a mini USB).
Just like you figured it out already, this MP3 player does not let you skip through individual tracks, thus listening to certain parts of a mix will be quite impossible, not only difficult. Nevertheless, this is one MP3 player is worth considering, just because of the size of it, and for the $79.99 imported from Japan.