In order to make coloured noise (white, brown, pink) you do not have to spend even $35 to get a specialized commercial product. You can just download Audacity, an open source audio editor, and generate the noise files with that.
First, you need to download and install Audacity.
Start Audacity. From the menu bar, choose Generate, then Noise.
Now you are presented with a dialog where you can enter parameters for the creation of the noise file: duration, amplitude (how loud the sound is) and noise type.
Click "OK" and the noise file will be created.
If you want to move the file to your MP3 player, choose File/Export. Then from the format drop-down box, choose MP3. You can alter options if you want higher bitrate than the default. Then, click Save. The file will be exported as MP3.
Next, copy the noise file to your MP3 player. That's it, enjoy!
There are other programs which can generate more complex noise files, but those shall be the subject of another post.