It is possible... is call "FAVORITES"
Hold down the song name (highlight it) and wait for 4 or 5 secs, then a box will pop up asking you if you want to add that file to favorites, click yes. to see the files that you added to the favoritie list just search the play modes (artist, album bla bla bla) until you see favorities.
same with deleting files from the HD (no the DB but permanantly from PC!) you hold for 6 secs.