I believe the idea is that you do this with the device off, then plug the USB cable in while the hold switch is on and you're holding select down. This should put the device into manufacturing mode, which will allow you to install the Rockbox bootloader.
I would guess you're reading the installation instructions
here, and it clearly states:
3. Attach your e200R to your computer in manufacturer mode (turn on the hold switch, hold select and plug in USB while continuing to hold select for about 10s)
If you're not reading those instructions, I'd recommend you do, they may prove to be helpful.