you can't ^_^ There's 3rd party software that will help you make playlists and then play them in WM10 though. Solsie's blog has it somewhere...
ah, here it is ...
http://mobile-sg.com/software/?p=Pla...r&platform=ppc
That allows you to make playlists for WMP10. Idiots at microsoft designing such a crappy player... =_=
If you want to be able to play your music on a good, free mp3 player I'd suggest Mortplayer at the moment. Don't get turned off by the retro skins you see -- search for one called 'qpod'.
Cheers.