To work with iTunes, it probably needs to work with your computer first and foremost - which would require a driver, most likely from that CD.
You should contact the vendor about anything missing from your order. (They may even have the slobby practice of retaining CDs of software from the manufacturer for each device, unless required to provide it. So a bit of contacting them about it might help.)
But you might possibly be able to get the driver for it, from the internet... checking there, I find...this device appears to be made for Sylvania Curtis International. This lists it as coming with an installation CD, and could be cited in communications with whatever slobby vendor left out or took out the CD from the package:http://www.curtisint.com/web/..%5Cproducts%5CImages%5CSpecSheets%5CSMPK8000.pdf
Also note whether it came with the earphones/earbuds, and whether it came with a USB cable for the connection to the computer... those are mentioned as part of the package.
Searching for a downloadable driver set on the Curtis International Support site, I find...
...no downloadable drivers whatever. So you will, presumably, really need
(This is all the helpful stuff that Curtis mentions about its MP3 player type devices:http://www.curtisint.com/support/faq.asp?ic=MP3
In conclusion: you have been deprived of a legitimate part of your MP3 package or sales product, by the vendor, apparently. An essential part. This means, if they can't provide that CD, you should return it to them ASAP as 'defective from vendor'. Period.
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