Create Playlist to play from External Hard drive

I have purchased a WD HD Media Player which plays songs loaded on my external
hard drive but it does not play the playlists that were created on the main
computer. I have read where the lists have to be created separately to play
on the external hard drive, but I am unsure as to how to complete this. Has
anyone else experienced the same problem?
I am using WMP 10 on an XP machine and have exported all the songs to a
Western Digital Hard Drive. I have connected this hard drive to the WD HD
media player to play through my HD receiver but I can only play one song at a
time. How do I create a playlist that can be used on the External HD?
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Peter R