Open windows Media Player by going to "Start", "Programs", "Windows Media Player";
and left click on it.
This window will open;
Choose "Custom Settings", then "Next" and this window will open;
If you want to use the playlists, tick the "Playlists" box on the lower right of the window. Be careful what else you check. Make sure that the privacy and other settings are what you want before you check them.