Actually, you can put your MP3s anywhere you want.
I put mine on my CF memory card (the nice 256megger I got for $49.95) so I wouldn't take up room on my SD memory card (the nice 256megger I got for $49.95)
Then when I use Media Player, I just go to the SELECT section and tell it to add the CF card to my playlists. You have to play around with it a bit... but it works just fine.