From past experience of these type of mp3 players, you might not of had a cd anyway let alone lost it. If you did it will only be a driver disc that contains the necessary drivers for other versions of windows (xp recognises most now as just an external drive and loads default drivers for it) What is on the mp3 more than likely will be the software disc contents. This will include software to create mp3's and a mp3 manager of such like (something along the lines of itunes if you get my drift but not itunes). It is alot cheaper to put it all on the drive itself and not send out a cd!! All you are supposed to do is install the software from the drive then delete the installation folders!!
Bit of a cheeky way of doing things but probably makes economic sense to do this and probably says the same in the instructions, which none of us read anyway cos we just want to play with it!! Blah who needs instructions anyways!!!!!