This happens when the player freezes up and its battery empties. Since the screen doesn't switch itself off, the battery gets used up pretty fast.
You should push the reset button on the side of the player using a needle or paperclip (make sure NOT to insert it into the microphone hole). If the player is off because the battery is empty, plug it in for charging and after a few minutes push the reset button to let it boot up.
Cowon S9 32GB Titanium | Creative Zen V Plus 8GB | Sennheiser CX 400 | Last.fm