There are MP3 players with line-in inputs, but the transfer would be analog and your sound quality would suffer, so it's not really a way to go, and it would take a long time to transfer the stuff. Maybe your computer predates USB, but if it doesn't predate PCI, you can install a USB card.
You can get one for about $10, including shipping, on
Newegg
If not,
here are MP3 player with line-in jacks. They also have standard USB capabilites if you upgrade your computer.