What you need
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Starting by the microphone, insert a prying tool and use it to remove the rear cap. It may be held on with strong adhesive (or at least it was in 2006).
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Press the motherboard out in the direction of the headphone jack. It may be held on with strong adhesive that requires gentle heating to loosen it.
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Unstick and desolder the old battery from its spot on top of the player's storage, and resolder the old battery in its place as shown in the second image.
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I found that 301230 lithium polymer batteries fit well in the player (although they don't match the original battery's dimensions exactly). Ensure that your replacement has overcharging, over discharging, and over current (both directions) protection as the player has no charging circuitry.
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To reassemble your device, follow these instructions in reverse order. Be careful to keep the buttons in with tape and to not let the battery tear on the belt clip.