I'm assuming you are referring to putting a playlist into your media player, so that would be handled via the media players internal commands...like with windows media player first you have to add the music to its library by File>add to library>add file, playlist

then once the file is in the library of wmp you can hit the tab that says library, right click on files and choose to add to now playing list

once you have created a list of songs you like in a particular order, you can then right click on the Now Playing List on the upper right and choose save list as...