It definitely has a speaker, as well as headphone support. I own one, but loaned it to a friend (as I upgraded to the HD model), so I can't check the exact process just now...
Here's a video... it should be as simple as this to get an mp3 to play.http://www.youtube.com/watch?v=ZAul_...ailpage#t=160s
Make sure your volume isn't set all the way down. Also, that the mp3 is in the proper folder, music or whatever. Not sure if that's important, but it could be because I recall that things like bookmarks and so on didn't work properly for books if they weren't in the 'book' folder.
Try loading on new tracks in case your test one has become corrupted somehow.
That's all I can think of. Good luck!