The reason they say not to turn it on before its dried out is that water inside can short out the circuit and possibly burnout some of the conductive tracks on the circuit board. If this has happend then its dead and beyond repair without profesional help. However I'd suggest leaving it somewhere warm and dry for a couple of weeks then go back and try it again. I've had 2 mobile phones (not exactly the same as an mp3 player but similar) that I've had submerged in water. Neither of them worked for 2 weeks then after sufficient time to dry they started working again.
Steven Graham, August 2006