Loading a playlist on external SD card with WMP (help)

Ok I’m tearing my hair out here.  I just got a 4GB Clip Zip and have been having the worst time trying to load playlists onto the thing.  I can’t get Winamp to work at all and it seems like most people can only get it to work using some sort of playlist witchcraft.  I managed to get Windows Media Player to sync playlists onto the player but when I try to sync playlists to the external SD card, the music will sync but no playlists show up in the playlist folder!! That’s kind of a waste of a 32GB memory card.  Any suggestions?

By the way, I live in Japan and the FM radio seems to work on a different band (87-108) than Japan (73-89 or something like that).  I’ve tried changing the FM Radio options to “World” but that doesn’t seem to have any effect.  Am I out of luck here?