I can't seem to download songs onto my mp4 player
Your Coby player is not compatible with iTunes. What you will have to do is to download the songs from iTunes, and, provided the songs do NOT have copy protection on them (possibly unlikely), you will need to download a free program like Media Monkey to convert the songs to Mp3 format. Once the songs are converted to mp3 format, you can use either Media Monkey or Windows Media Player to transfer the songs to your mp3 player.
-Tha Mp3 Doctor