I wouldn't recommend building a manual playlist that contains all (or even most) of your music as it will take forever to load.
If you're wanting to play all your music in one big list and ordering is not important, you can do this under 'Browse Database' > 'Browse All Music'.
If you want to re-order the list you can then close ME and copy the file 'me_audio.m3u' from your Media Engine program folder to another location (rename it if you want) and edit it with any text editor. If you do this make sure to remove the first line that is the SQL query used to build the list. It will look something like:
# SELECT Path, Artist, Title FROM Media WHERE ParentDir LIKE '\Led Zeppelin%'
Again, because the database indexing won't be used, loading this edited list will be pretty slow so don't say I didn't warn you.