Read the manual it has lots of useful stuff in it . . . it will explain about playlists . . .
http://www.xboxmediaplayer.de/newweb/info_howto.htmBy default the config.xml points to e:\videos this is where you should place video files.
You can change the HDD share to f:\videos or something to your satisfaction.
e.g. from config.xml
<share>
<name>HDD</name>
<url>e:\videos</url>
<cachesize>8192</cachesize>
</share>