Phil, looks like you got the run-around ....and I question if Vijay really works for Microsoft support (Really?! did you think we needed help with creating and saving playlists?! Read the question!)
All you need to do is create a playlist in Now Playing. Just save the playlist (top right). Save any playlist with list showing. Save it as test or whatever you want to name it. close player and reopen. list pane is still there.
To start the player in now playing, follow h4rl3qu1n's steps:
To start WMP in the Now Playing Tab you have to edit your WMP shortcuts, for us on Windows 7 64-bit it works like this:
Default -> "%ProgramFiles(x86)%\Windows Media Player\wmplayer.exe" /prefetch:1
Changed to -> "%ProgramFiles(x86)%\Windows Media Player\wmplayer.exe" /Task NowPlaying