The player will work on any battery that will fit in it, which includes 1.2v rechargable NiMHs to 1.5v alkalines so you have a little margin to work with.
You'll be wanting something that looks a lot like this (though it's simple and not hugely efficient, it's extremely easy to build):
USB Resistor MP3
_--_
+5v -------------[ ]---------------| + |
D- ----- | |
D+ ----- | |
-0v ----------------------------------------|_-_|
The resistor, if the mp3 player chews ~150mA and if my math is correct, is probably gonna need to be around the 27ohm mark with a rating of 1W.
From the USB's V+ pin to the resistor to the positive end of where the battery would sit in the mp3 player, then connect the ground to the negative end of where the battery would go... sorted, plug 'n' play.
The other option if you want to get a little less kludgy is a voltage divider, which is one of these:
http://ourworld.compuserve.com/homepages/Bill_Bowden/R.gif[/img]
In your case, you have 5v going in (V) at 500mA (I'm guessing, since it's USB) and the Vout should be 1.5v, and with those numbers we can calculate the R1/R2 values to give you 1.5v between Vout and ground...
According to http://ourworld.compuserve.com/homepages/Bill_Bowden/r2.htm (which happens to be where I nicked the picture above from), R1 should be 7ohms and R2 hould be 3ohms. Now an advantage to this method, if my electronic knowledge isn't completely useless, is that you can use the remaining 3.5v to do something else with rather than just wasting it. You could use it to... I dunno, power a couple of white LEDs to use as an in-car flashlight...