Hi,
The new Rio's do have some built in Flash memory.
Mine says something like 879MB free so not large by todays standards.
I suspect that you have to plug in a USB memory stick with the files on it , though I am going to have a play tonight.
Mine is the 1.1 '1' Air model.
I will post my findings later.
All that I have done so far is blue tooth synced my Ipod to it. I will try to find the ipod cable for it , though ebay only has ones in the US.
Bruce