Unfortunately, I'm rather certain that you'll have to RMA it through the manufacturer. But don't worry, perhaps you should be happy about that, here's why:
I have to say, Newegg's RMA process -- like many things at Newegg -- has really declined over the last year. Like you, I purchased an MP3 player last November at the 'Egg with an extended warranty (yet another thing which has all but disappeared from most items). I bought the warranty because I had read that the Creative player I bought tends to give up just outside of its abismal 90-day warranty. Well, here I am a year later and boom, the hard drive quits.
So it takes me a week to get the RMA approved at Newegg because the extended warranty I bought no longer even exists. Finally, after a terribly frustrating runaround I get someone to create an RMA. I sent my player back and they received it overnight according to my Fedex tracking. A week later, my RMA status still says they haven't received it. Four more phone calls and I finally get someone in the RMA department to find the package and move it along to "received" status. Here I am, one week later, and still no replacement has been sent.
So, the moral of the story is, the days of Newegg's quick n' easy, in-and-out RMA process are dwindling. Since your player is undoubtedly under manufacturer warranty, I bet you will get faster, and more friendly service dealing directly with them.
Good luck,
Odie