A SanDisk Sansa m240 MP3 Player problem regarding the install cd!

I managed to throw away the damn cd-case, with the cd and instructions. I didn't notice that it was in there. So I'm pretty much screwed it seems. I have Windows XP, but when I insert the Mp3 player in the usb port, a menu pops up with three different options;
1. Transfer Files
using Windows Media Player
2. Open with Winamp
using Winamp
3. Take no action

Nothing happenes when I click either of this options. And I haven't installed any drivers or things like that, which probably came with the CD-case, because of previously said problem.

Does anyone have any ideas?