- Microsoft recommends making it yourself in http://support.microsoft.com/kb/321379
- http://windowsxp.mvps.org/PrintDirectory.htm has automated it somewhat.
- And some people made a program for it, like http://www.spadixbd.com/freetools/jdirprint.htm and http://www.karenware.com/powertools/powertools.asp (first entry at the moment).
Pick whatever you like.
I would like to keep a printed list list of all music I have im My Music. I can't figure out how to configure the list to print.