How do you load playlists from Ares to Windows Media Player 10?

I have both Windows Media Player 10 and Ares 2.1.1 installed on my computer. I have downloaded several songs off Ares and have created a playlist from these. I then saved the playlist to my computer. I am trying to use Windows Media Player to sync the playlist onto my Sansa Model m240 1G mp3 player. I have tried going to: "File-add to library-add file or playlist" and "File-add to library-add folder", but my list will not load. Tell me what I'm doing wrong and what exactly (step by step) I should do. Essentially walk me through it. Please help me!