you can do both of the above.. just make a browse.rrl file with the locations you'd like to have on your list.
Open the Audio Browser and for each of the entries on your browse.rrl file hit the +1 button. It will add each of those folders to the playlist. when you're done just pres exit and it should have all your folders on the playlist.
You can also make a playlist file in winamp with all the songs you want, place it anywhere you can browse with RR (your music path for instance) and go into the audio browser and hit "play" (select) with the playlist hightlighted -- RR will load the playlist file. It must be a .M3U file.