Is this
this the Zen media player you have?
If you have never used the install CD that is probably the problem...however I have the Zen Portable Media Player and the cord they gave was really short so it eventually just wore out and wouldn't connect. Now I use a longer cord that I got from a past media player and it works fine.
Also, if you don't have Windows Media Player 11 that could be the issue as it was with me, at least in one point of time.
If you ever do get to connect your media player, I would use the
MP3 Recovery Tool to get the latest firmware uploaded just in case it goes bad again. This website also brings up a good point about updating to Windows Service Pack 2 if you don't have that done already.
Good luck.