The way I did it using windows media player (shortened version)
I saved each of the different categories of sounds (coyote, cottontail, bird, jack rabbit etc.) in seperate folders naming them respectively.
I'll use the cottontail folder as an example...
I opened the cottontail folder, dragged and dropped all the mp3's within into windows media player. Highlight all the files within the media player and edit the tag. Within this you can change the artist and album information. I made the artist "Cottontail" and the album "E-Caller" (leaving the track name as is), making it easier to locate on the mp3 player. Once finished with the tag editing I saved the playlist as "cottontail"
I did this with each different animal sound I downloaded. Then, using windows media player with mp3 player connected to pc, clicked on the 'Sync' tab, and from there I clicked 'sync settings'. This brings up a new window within windows media player that allows to check each playlist you just made and click 'ok' to add them to your mp3 player.
I've helped a few people do it this way. If anything is still unclear feel free to send a pm with any questions.
Good Luck calling