Pictures would be nice if possible!
Armband? The Yamaha MP3 player that for my Venture came with two adhesive-backed strips of velcro. I couldn't figure out what to do with this velcro, so I made a strap out of some extra velcro I had lying around, passed the velcro through the slots in the back of the rubber MP3 cover, and strapped it to the handlebars (see attached picture). I'm not real happy with this, but at least I can coil up the extra connector cable and hold it under the strap.
I find the Yamaha MP3 player to be a pain. It is difficult to turn on (it sometimes gets into a state where it doesn't seem to want to turn on, and I have to turn the switch off then on to smarten it up), and it re-starts at the same song each time it is turned on. That really sucks because it is a pain to skip through a large number of songs. I have 255 songs on it now and I've only ever heard the first few of them over and over and over.