My DH has one. You will not be able to hear it properly out of the water. It will always sound fuzzy in the air. It needs to be submerged to sound good. That said, you should still be able to make out what song is playing, even if it sounds weird.
One thing to make sure of: open windows explorer and check to make sure that all of the files are in the correct format, which I think has to be mp3. If there is a file format in there that it doesn't recognize, it will make the whole thing error out. (For example an itunes m4a file or something like that. I don't know about the current generation of players, but my husband's will only play mp3s, not wma or any other format.)
I would take it to the pool and try it before calling customer service about the fuzzy sound. (There might still be something wrong with it but at least you can tell them that you tried it underwater.)
HTH!