If you are in a folder with multiple types of files you will still get the Play All on the left side. But if you select the songs you want, then that option will change to Play Selection. In your case I assume you have a folder with songs only, lets say mp3, then you can just click Play All and it will add all the playable files into Playing Now area.
Since this topic is about windows media I might as well ask a question. I have 5.1 speakers and headphones, whenever I switch from speakers to headphones in the control panel Audio settings, everything playable sound goes through headphones except Windows Media Player 11, for some reason it doesn't affect it, I was wondering if there is an option there to choose where to play the sound.