How do you return to the last played song

This may be a stupid question but I have about 750 songs in my clipzip. When I am out jogging I want to listen to all my music. Lets say I have listened to the first 60 songs and I want to download new music in. So I hook it up to the computer and put the new music in. The next time I go out jogging, I want to keep playing my music where I left off before the download of the new music. How do I return to a last played song? I know I saw a menu option for it once but can’t find it. Is their one that I am missing?  

Short answer? You can’t.

The ‘playlist’ will reset when you connect to your computer and add or delete any content.

I wonder why that it is not an option?
Ok, thanks anyway.