Go to:
-View (on media player tool bar)
-Playlist:
This will open a window named playlist where you can drag and drop
media. You can build your playlist here by dragging the content that
you want. To save: right click in a blank space anywhere in the playlist window and select "Save As..", save the file and that will be your custom playlsit.
Note: you could alternatively open the playlist window by pressing "Ctrl+7" (Ctrl and number 7 key).