You don't say which operating system you are using or which version of Windows Media Player, as they do have differences
But essentially I would refer to the faq on this site http://www.microsoft.com/windows/windowsmedia/player/faq/default.mspx
Most commonly you would go to File>Add to Media Library and add the folder or search the computer
Windows Media Player may automatically add files and folders but it tends to do these from the default folders such as 'My Music' and 'My Videos'. You may however have files stored in other areas you may wish to add to the Library. If you wish to make this an automated process alongside the defaults you must go to File>Add to Library or if you wish to you a shortcut simply press the F3 key.
Then select which media folders you wish to add,these will then automatically be monitored, anything added to them will be automatically put into your Windows Media Library. You may see an option about files previously deleted from the library, you may need to click that as you delete files that you don't want Windows Media Player may automatically add these. If you wish to add individual files to the library you can simply locate it from a window with it open and drag it into the library and it will appear with the correct ID3 Tag.
You can now enjoy these files by double clicking on them or pressing the enter key. You will find performance of Windows Media slightly slow whilst it locates more files to add to the library, once it has done this it will play music more smoothly without any interruptions
Hope this helps, if not, please let us know exactly what the issue is, and we will try to help..