I'm trying to figure out the same thing. I have an older model of the same player and that pops up "playlists" as a folder in windows media player. I just purchased this new version for my husband and I cannot figure out why there are no playlists. Please anyone who has any idea, please respond! I plan on calling Philips in the morning when I get up, so I will post on here if they can give me an answer!
Does anyone know how I add playlists or create playlists on my Phillips SA3285/37 mp3 player?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic