You are being a BIG help (believe me). this is what I get:
Windows Media Player cannot find the specified file. Be sure the path is typed correctly. If it is, the file does not exist at the specified location, or the computer where the file is stored is offline.

Does that answer your question?.

I make a list of songs, give it a file name and save to the folder. Then I do what you said about getting it into the "Playlist"