I think you just find the Nasheed you want online - hey, why not look in the Nasheeds section of this site?
Then you save it to your hardrive as an MP3. Then plug your MP3 player in to the PC, go to My Computer where the MP3 Player *should* now have appeared. Simply transfer the Nasheed from your hardrive onto the player. Voila!
Alternatively, you could plug the player in first, and then save the Nasheed directly to it.