I have downloaded music to the player, but when I unplug the usb to the player, the files don't exist.

MP3 players can only play music files in mp3 file format.
You can download mp3 music files from the Internet to your computer and then copy them to your MP3 player using the USB cable.
For your CD collection, you need to convert your CDs to mp3 music files onto your computer or download them from the Internet and then copy them to your MP3 player after you have connected the USB cable to the MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player will create a MP3 music file for each music track.
Click on this link for instruction on converting music files to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format. You can download mp3 music files from the Internet to your computer and then copy them to your MP3 player using the USB cable. For your CD collection, you need to convert your CDs to mp3 music files onto your computer or download them from the Internet and then copy them to your MP3 player after you have connected the USB cable to the MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player will create a MP3 music file for each music track. Click on this link for instruction on converting music files to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format. You can download mp3 music files from the Internet to your computer and then copy them to your MP3 player using the USB cable. For your CD collection, you need to convert your CDs to mp3 music files onto your computer or download them from the Internet and then copy them to your MP3 player after you have connected the USB cable to the MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player will create a MP3 music file for each music track. Click on this link for instruction on converting music files to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format. You can download mp3 music files from the Internet to your computer and then copy them to your MP3 player using the USB cable. For your CD collection, you need to convert your CDs to mp3 music files onto your computer or download them from the Internet and then copy them to your MP3 player after you have connected the USB cable to the MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player will create a MP3 music file for each music track. Click on this link for instruction on converting music files to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format.You can download mp3 music files from the Internet toyour computer and then copy them to your MP3 player or delete the existing files using the USB cable connected to the computer.For your CD collection, you need to convert your CDs tomp3 music files onto your computer or download them from the Internet and thencopy them to your MP3 player after you have connected the USB cable tothe MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player willcreate a MP3 music file for each music track.Click on this link for instruction on converting musicfiles to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format.You can download mp3 music files from the Internet toyour computer and then copy them to your MP3 player using the USB cable.For your CD collection, you need to convert your CDs tomp3 music files onto your computer or download them from the Internet and thencopy them to your MP3 player after you have connected the USB cable tothe MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player willcreate a MP3 music file for each music track.Click on this link for instruction on converting musicfiles to mp3 file format :- http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

MP3 players can only play music files in mp3 file format. You can download mp3 music files from the Internet toyour computer and then copy them to your MP3 player. For your CD collection, you need to convert your CDs tomp3 music files onto your computer or download them from the Internet and thencopy them to your MP3 player after you have connected the USB cable tothe MP3 player and the computer.
You can do this using Windows Media player and Rip the CDs - Media Player willcreate a MP3 music file for each music track. Click on this link for instruction on converting musicfiles to mp3 file format :-
http://www.fixya.com/support/r5798418-creating_transferring_mp3_music_files

You can download the entire manual here:
Sansa M240
The section regarding your query is pasted below:
Deleting Music Files On Your Sansa MP3 Player

When your player is connected to your computer with the USBconnector, you can use your computer file browser software to view all files onyour player. Your player will appear as Sansa m230 or m240. Follow these steps:
Use the USB connector cable provided with your player to connectthe USB port on the top of your player to an open USB port on your computer. Theplayer will appear as a Windows Portable Device on your computer. (Can't findthe USB Port on your player? See The Basic Controls.)
Delete your music files to the player with software tools likeRhapsody, Windows Media Player or Napster Client.
To use the Windows Media Player, Rhapsody Client or Napster Clientsoftware to delete files to your player please refer to the Windows MediaPlayer, Rhapsody Client or Napster Client help file.

NOTE: While you canstore and organize your audio files on your player using folders with names youselect, your player will ignore folders and names. Instead, your Sansa playerwill extract information from each audio file so that you can use the softwaremenu to navigate your files by artist, album title, song title, and otheruseful criteria.