mk444,
When you click on a song title within your library, then click on 'enquque', that song will become part of your playlist. At the bottom right of your screen you'll see 'continuous' and 'shuffle'. Tick continuous and whatever songs are in your playlist will play continuously. Tick shuffle & they will play in random order. To turn these options on or off, just click on the boxes.
To play within iTunes, you'll need to import your songs into the iTunes library. Then you can create a playlist from these.
Cheers!