Making a playlist?

A few months ago, someone in technical support told me I could use Windows Media Player to "chain together" a list of segments that will play one after another without stopping. 

For example, suppose I want segments 2,3, and 5 from one video and segment 4 from another video to play as a single viewing (without me having to start each video manually). 

I know how to make a playlist in Windows Media Player, but I can't figure out how to copy (or drag) segments from United Streaming into the Windows Media Player playlist.

 Can I do this?  If not with Windows Media Player, can I do it with United Streaming?