Short answer: need to re-encode files to make player happy.
Longer answer: This is widely known, is all about the codec. Even with "standard" mp3, what encoder it was used to create the mp3 matters and a player that doesn't recognize what it understands, specially a portable which contains limited amount of code or "intelligence" will refuse to play it.
need a lot more info. such as what is the model of walkman? what file types is it playing and what types won't it play? does it play some of one type but not all?? are you trying to play file types the walkman does not know how to use? what media are the files on? bit more info and we can start to see what might be the issue.