Select the files that you want to include to the playlist. Click "Create playlists" on the right:
In the new window, select the preferred type of playlist from the "Export to" dropdown list. M3U and PLS playlists are supported.
Click "Save playlist or Export data" in the lower part of the window and enter some name for your playlist into "Save as" dialog.
After saving you will be able to use the playlist with any player that supports the feature (and most media players do).