MP3 player won't save playlists!

So, as a little Christmas/birthday present to myself, I bought a 2 GB Sandisk Sansa Clip during amazon.com's black friday deal ($25!). Today, I finally finished complying a hour-long "jogging" playlist in iTunes, found out the the little sucker would only work with Windows Media Player, recompiled the list in WMP, then proceeded to sync them up following a google doc user manual.

All the songs end up in the "music" folder rather than a separate playlist in the "playlist" folder. I tried creating a new folder to drag and drop the songs myself, but I apparently don't have permission!

What? Why? This thing has soooo many positive reviews (cnet, private blogs). Is it just me? This is my very first mp3 player EVER and I have no clue how it works, simple as it may appear. T_T

ARGH!