When using some sony players, they do not support MP3 files or WMA files, and need converting to the special Sony format, Atrac before use.
This player is one of those players i'm afraid and is why, when you try to play MP3 files on it, it wont work, but will only store them.
The software used to convert MP3 to Attrac should have come with your player called SonicStage. This program should make the entire process easier, and automatically converts and then sends the files to the device when done.
The reason Sony use Attrac is because
1: Its there format
2: It actually allows with excellent compression, more files to fit on a device with less storage than MP3 or WMA files would.
Though, there is a firmware update for your player which will allow you to import MP3 files to the device and play them, solving all your issues:
This is a firmware update though, and after installing to your player by following the instructions, you will still need SonicStage to send the tracks to your player which should have come with your MP3 player.
If not, download it here:
Simply select your operating system, and then download SonicStage 3.2 from the list.
I hope this helps, and now, you will be able to play your MP3 tracks