Absolutely..
Though to make a playlist with WMP, with the files it will play, I think the best you can do is to open the library an only select the files you want it to play in succession..or to remove the files from the library playlist once it's selected, watch as it will give the option to remove from the device, select just from the playlist.
For music, I use both WMP an Nitrogen, it's a nice media player for music and has some expanded features that are not present in WMP..
For videos, Coreplayer is one of the best, an I think it plays like WMP an will play what you highlight in its built in file browser, to see if you can select more then one file, like I mentioned there is no right click option, but there is a press an hold option that sometimes gives the multiple option. If not, select all the files an remove the ones you do not want, but watch for remove from device here as well.
Hope that makes sense to you and helps you to rock on with your phone...

WR