You need to create an M3U playlist. This is really easy; an M3U file is simply a text file with a list of MP3s in the order you want to play them. Save this on to the root of the card with the MP3s in a folder and the RNS-E will only show the playlists when you select "Drives".
Note that you will need to include the relative file path of the MP3 in your M3U file. So, for example, if you have three tracks called "TrackA.mp3", "TrackB.mp3" and "TrackC.mp3", you might copy them to a folder called "MyTracks". Create a text file called "MyPlaylist.m3u", save it to the root of the SD card, and inside it type the following lines:
MyTracks\TrackA.mp3
MyTracks\TrackB.mp3
MyTracks\TrackC.mp3
Try it on the RNS-E and all you'll see is the playlist called "MyTracks". Select it and the RNS-E will play your MP3s in the order shown above.
I've actually written a Windows application to do this (I am planning to make it available free in the next few weeks) which rips CD tracks using the LAME MP3 encoder, then allows you to create a playlist and copies this and all the tracks to your SD card automatically. Have been using it for a while, but right now three of my mates are doing some Beta testing for me
Will post some more about it soon.