Rip UK is right. I would create a playlist as follows:
open Notepad
type or paste the directory of an audio or video file and press enter.
on the next line paste the directory of another file if you want and so on.
Then when you go to save this notepad file, don't give it the typical .txt extension, but rather the .m3u extension by typing it in.
Now that file is a playlist. When you double-click it, your media player that is set to open .m3u files will load it and begin playing the file or files one after the other.
You can later open this .m3u file through notepad and edit whatever you want.
Time-saving hint: if in notepad you want to paste a list of a lot of files from a directory, you can use the program "picky basket". With it you just select the individual files you want from a folder in explorer. Then right-click, select picky basket and then select "copy paths to clipboard". Now in notepad select paste and all those individual file paths are pasted.
Here is the website for pickybasket. It is has some other very handy features, it takes up no space or resources and it is free:
http://www.conceptworld.com/piky/piky_features.asp