Write out your playlist file in this format after you read in the files in your directory.

Playlist format:
Code:
<?wpl version="1.0"?>
<smil>
    <head>
        <meta name="Generator" content="Microsoft Windows Media Player -- 11.0.6000.6344"/>
        <meta name="AverageRating" content="33"/>
        <meta name="TotalDuration" content="111"/>
        <meta name="ItemCount" content="3"/>
        <meta name="ContentPartnerListID"/>
        <meta name="ContentPartnerNameType"/>
        <meta name="ContentPartnerName"/>
        <meta name="Subtitle"/>
        <author/>
        <title>Test</title>
    </head>
    <body>
        <seq>
            <media src="Video1.wmv"/>
            <media src="Video2.wmv"/>
            <media src="Video3.wmv" />
        </seq>
    </body>
</smil>
The to load/play it:
Code:
Option Explicit

Private Sub Form_Load()
    WMP.URL = "C:\Users\UserName\Videos\Test.wpl"
End Sub