When you press ANY of the PLAYER buttons (WAVE, MP3 ... etc) to access the dedicated folder and files, the EXIT button only toggles between the folder you're in and the ROOT DIRECTORY of the AUDYA's HD. It doesn't EXIT from the PLAYER function you are currently in.

To EXIT from the Player menu, you'll have to press once more the Player button you are currently in (e.g WAVE).

Hope this helps.