Yes, I concur. It is incorrect to say "a" MP3 player. The reason, I believe, is because the letter "M" technically starts with a vowel "em."
We use the indefinite article "an" before vowels. (an apple, an eraser, an interesting observation, etc.) The article "a" goes before just about everything else: a potato, a cupcake, a new car, a grammatical query, etc.)
I truly know more "rules" in Spanish than in English because I have grown up speaking English. Spanish, on the other hand, forces me to study rules. Perhaps someone might be able to offer a more accurate reason?
Because of the accent and because it's an acronym where you read the letters, when saying it one says "em-pee-tree" ("eme-pi-tri) " so the tendency is also to write " an mp3 player". (3.170.000 links).
So the "rule" is to write and say "an MP$ player".
Truly, I've never heard people say "a" MP3 player. It sounds very jarring. Where I teach in the city, many kids speak in a "slangy" sense. However, their diction sounds most uneducated when they use "a" instead of "an"...as in "Don't give me a attitude."
PS: The reason I thought of spelling out "em" is because these types of things are accepted in the official Scrabble Dictionary (as in the letter "cee").