I also have a Sony Ericsson K800i.
Note: Make sure first that SE K800i supports the music format that you're going to transfer (Supported formats: MP3/AAC/MPEG4 -- I have not yet tried WMA)
Follow these steps to transfer music on your mobile phone:
1. Connect USB cable to the USB port of your CPU.
2. Connect SE K800i to the USB cable.
3. You will be prompted with three options on your mobile phone. These are "File transfer", "Phone mode", and "Print". Just select "File transfer".
4. If you're using Windows OS, right-click "start" on the taskbar and then select "Explore".
5. If you want to save your music on the phone's internal memory, go to "PHONE (X

"; if you want to save your music on Memory Stick Micro (bought separately), go to "PHONE CARD (X

". Note: X represents the letter of your drive.
6. PHONE (X

and PHONE CARD (X

have subfolders "Music" and/or "music". Just "copy and paste" your preferred music on either of these folders.
7. Safely remove the USB cable.
Optional steps to follow:
8. Go to "Music player".
9. Select "Playlists".
10. Create "New playlist" by browsing the folder where you saved the music. (probably, "Music" folder)