Whenever you insert a CD, it should show you the folder contents and give you the option to rip the cd or just play it. If the CD is already inserted, you can goto "More Options" | "External Media" then rip or play the folder or files. Selecting "Play All" will play the entire cd.
If you want to create a playlist, you should switch to Queue Mode under "More Options", then whatever songs you select, will be added to the main playlist and removed as they are played. If you want to use a more complex premade playlist, you can use any playlist that windows media player supports. Including smart playlists and regular playlists. Simply create the playlist in WMP and it will show up in the music section under "Select Music" | "Playlist". Smart playlists are dynamic created playlists where you can specify things like "only show me the songs downloaded within the last month".