I use mac so this may vary slightly on a PC, but the concept is the same either way.
On the media card in the folder called music:
1. create new folder and tiltle it like a playlist.
2. move songs for that playlist into this folder.
3. repeat for each playlist.
to play:
go to music:
1. select the folder(playlist) on the media card
2. press the menu key
3. select play folder.
they will still be in alphebetical order but some is etter than none. if you want to rearange songs just rename the song on the card with A,B,C ect infront of the song name for the order you want.
just my $.02
enjoy.