Is the player intended for use on 12V car electrics? Spec info I found says 4.5V.
What is the mains adapter rated to provide? As the player was intended to run on significantly less than 12V you may have banged it by connecting to a 12V supply via a lead that just presents 12V, rather than does voltage conversion.
What is the polarity of the connector? It's usually but not always, centre pin positive. You may have banged it by connecting a reverse polarity.
Check, check and check again. It might well be that you've had an expensive lesson.