Don't know how to adjust volume on sansa fuze player 8gb and how to turn off completely

Use the Sansa Media Converter to convert videos (and photos) to a format the Sansa can handle. If you don't have the SMC, you can download the Windows version from
http://www.megaupload.com/?d=3IPZO6Q0

just reformat from the setting screen on the sansa NOT THE COMPUTER

You should be able to hold the power button (as if you were turning it on) for 20-25 seconds, which will shut it off completely. It should work as if nothing happened when you turn it back on again. Hope this works for you!!

I'm having trouble understanding the question.
Are you saying you don't know how or it won't adjust volume?
Volume is changed by rotating your finger around the center disc. Counterclockwise is lower, clockwise is higher. You can get the owner's manual here:
http://www.sansacommunity.com/download/11062/Sansa-Fuze-User-Manual/

The Sansa isn't supposed to connect to a CD player. You need to use a computer to rip tracks from the CD, then transfer them from the computer to the Sansa.

Press the Power and Play (>||) button together for 20 seconds to reset the unit!

The Sansa Fuze has superior audio quality. It also accepts microSDHC cards, which means you can expand the capacity to 20GB. The Sansa Fuze supports more audio formats than the Craze.

The Sanza Fuze is rated for up to 24 hours of playback time, although people state they tend to get between 19 and 21.

The thumbwheel. While playing music, turn it clockwise to increase or counterclockwise to decrease the volume.

use a different converter(like creative zen videoconverter), i use creative and it is pretty fast.

You need to use the Sansa Media Converter, supplied with the device, to convert pictures (and videos) to a format the Sansa can handle.