Limewire And Windows Media Player

I have a concern. I want to know how to make a playlist like I was able to do with Napster. I know Limewire has an internal player, but I prefer to have all of the files saved to one list, so I can save the list to my desktop and have WMP play it for me with a double-click. I do not know how to make playlists and that is why Napster was so convenient, as it allowed you to save the songs you wanted onto your desktop (or wherever) and you could access them all without having to run Napster or Limewire respectively. I would appreciate any help. Thanks.