Hi Deborah2349,
I don't use the LW player normally but here's how I've managed to make a playlist... it's a bit long winded but it works.
Click on the My Files icon, so that you see your lists (private shared, public shared etc in the sidebar).
Click on Create List.
Name your new list whatever you like. Click Enter on your keyboard.
Click on Library. Drag songs into the new list that you've created. Alternatively you can right click on a song > add to list > choose your new list.
Click on your new list in the sidebar.
Double click on the first song in your list. It'll start playing & then all other songs in the list will play in sequence.
I haven't tried turning Shuffle on, but you can try that if you want to & see how you go