Never mind, I finally got it.
You have to click the Play tab before adding anything to Windows Media Player.
Who expects to click Play before you have anything listed to play.
I have no idea what the create playlist command is for because it has nothing to do with creating a playlist.
You have to import the music into media player, (though the Play button) before you can add it to a playlist.
Then you just save the music you imported as the playlist name you want, the already created playlist in your music folder or the one you previously created in WMP don't seem to have anything to do with it.
Wouldn't it be a lot easier if you could create a playlist, and then just be able to add music to it from the files in you music folder...