You might try another technique besides dragging...see if copying & pasting the address will work...(will it play music using any technique? Does it show anything? Is your sound turned up & not muted?) There are so many possible scenarios...

Oh...are these songs on your computer, or on the WWW? If you have Windows Media Player going, it sets itself to be the default player for almost everything..(which is why I won't install it)...so just double clicking ought to play a song. Then, for a larger playlist, there MUST be a menu option to open a folder and put some or all of its songs in the playlist. Every player I have used has this option somewhere.