Maybe you're confusing My Library or P2P Network (that you see in LW's sidebar) with a playlist?

You can play songs one at a time from within My Library & P2P Network, by right clicking > play.
But you can't build a playlist of songs & have them play in order or in shuffle mode... it's just not part of LW 5 yet. The link that I gave you in post #2 is from the forum where LW's developers post... maybe the next version will have a playlist feature