If your device supports MTP (drag and drop using Windows Explorer), then it's likely you're wondering how to create a playlist without any extra software like Songbird, iTunes or Windows Media Player.
I personally use Songbird to sync music to my Sansa c250, but for those who don't want to do that you can still use Windows Explorer to create playlists.
- Go to Windows Explorer and select the songs you want.
- Right click on the files and select "Create playlist"
- Name the playlist.
- That's all :)
You should be able to do this starting from Windows XP and onwards.
Source: Sansa e250 playlist help