The playlist its self is not hard to write or to edit, but due to Flash's lack of saving, XML was the only choice.
I had remembered a great website that was made by a person called Lee Brimelow, which offered free high quality video tutorials on Flash.
So, I went ahead and downloaded his whole series, which was a whopping 1.45 GB, but it downloaded within a day on a 512 connection.
Using his guide to remember the basics of Actionscript, I made the player. With 140 lines of code, it was quite a long job, but it worked.
If you want to be more technical, the player reads the XML playlist to store the path to the MP3 files, and then it reads the ID3 tags stored inside the music files, which contain the song title/artist name and other information. Using these, it plays the music files.
And here is a screenshot of the program at work. You must excuse the quickly done background, and the weird name, and the stupid volume slider which I must replace. Other than that, I'm quite proud of myself. :D