I've also (just) found that to make playlists straight to the memory stick (quick and dirty, but it worked for me!) :-
Windows 7 with up to date Media Player etc.
Open Windows Media Player - ensure the 'Play' option is in the right hand pane
Open your memory stick (my computer/windows explorer) to where the track you want to add to the playlist is stored
Drag the track (from 'my computer'/explorer window) to WMP's 'play' pane
back to my computer/win exp and open next track folder and drag to WMP 'play' pane again
etc etc till you've finished
In WMP 'play' pane, click on 'untitled list', name the playlist, hit return
The new playlist appears in the library list on left
Click on that playlist which puts it to the top of WMP, right click/file/'save now playing list as....'
Explore to your memory stick and save it in the root directory/folder.
Best then to open the saved playlist in 'Notepad' and ensure it's saved any 'weird' characters properly (if not then just edit the file and change the character and re-save)
A bit of a palaver but it can't be done in WMP as it's on a removable media and it just wont 'av it!