Hi, welcome to the forums
You can do this by 1 of 2 ways...
Option 1
If the files are in 1 folder you can highlight all the files then right-click 1 of them and select
Add to Windows Media Player list. This will open up Media Player and play the files in sequence and you can then click the
Unsaved List in the right pane and type the name you wish to give the list.
Option 2
If the files are in multiple folders then you can open up the general
Music folder then type *.* into the search box (top right of the open explorer window), this will bring up all files. You can then you can highlight the files just as
Option 1 explains.

Note
You may need to click the 'Play' tab once Media Player opens
Hope it helps