I bought my Webplayer off Ebay and it didn't have a supply.
I trundled off to my local Rat Shack and bought their 'Digital Camera' PSU unit. It has a switchable 3,4.5,5 and 6V out (about 2.5amps I think)
I also had to buy a different adaptor 'head' to fit into the back of the unit. They are all on the wall with the plug in PSU's anyway. Take your player in with you, as they have one of each type on a cord so you can try and get the best fit.
Rat Shack is actually handy sometimes!