Mac lacks the support for MTP so you'll have to force MSC mode (unless you have the latest firmware for the player in which case you can just select MSC mode)..
If not however to get it recognized on your Mac, you'll need to do the following:
With the player on, activate the hold switch
Press and hold the left (rewind) button
Keeping left held down, connect to your Mac
It should now show up.

I recommend updating the firmware so you can get the native MSC support instead of having to force it.
It'll be easiest to do from a windows based computer