Sandisk "glitch"?

I have a Sandisk mp3 player, the one without the micro card slot. I bought it simply to have in my car without carrying a bunch of cds. I have no trouble downloading the music from WMP. The problem is it splits the music into additional playlists. Example; If I create a Christmas playlist of three artists it will make three playlists out of it, even if I downloaded the music as one playlist. If I wanted that, I would just carry a bunch of cds! I’m quite frustrated. I thought this device was great, and it is, but I consider this “glitch” quite a pain. I’m an old guy that enjoys several genres of music. If I am doing something wrong, could someone let me know? Thank you.