How to play a playlist in the newfangled Windows Media Player 9 in VB6
First, add the control to your form and change the name to WMP.
Now, try this out.

Dim B As WMPLibCtl.IWMPPlaylist
'Define the playlist
Dim C(0 To 4) As WMPLibCtl.IWMPMedia
'Declare 5 songs in an array.
Private Sub Command1_Click()
Set B = WMP.newPlaylist("pfX", "")
'Instantiate a new playlist
Set C(0) = WMP.newMedia("C:\dharmanyo2.mid")
'Add dharmanyo.mid - a Japanesque battle tune
Set C(1) = WMP.newMedia("C:\Centurion.mid")
'Add Centurion.mid - a Victorian waltz tune
B.appendItem C(0)
'Add dharmanyo.mid to the playlist
B.appendItem C(1)
'Add Centurion.mid to the playlist
WMP.currentPlaylist = B
'set the media player's current playlist
'Start the playlist!
End Sub

Private Sub Form_Unload(Cancel As Integer)
'Free memory
Set C(1) = Nothing
Set C(0) = Nothing
Set B = Nothing
End Sub

Private Sub WMP_MediaChange(ByVal Item As Object)
MsgBox WMP.currentMedia.Name & "=/=" & WMP.currentPlaylist.Name
'This event is called when the song changes/is changed.
End Sub

To play a single song, this will do it for you (with the creation of a new playlist of course.
Private Sub Command2_Click()
Set C(0) = WMP.newMedia("C:\Pocahontas.mid")
'Main theme of Pocahontas movie.
WMP.currentMedia = C(0)
End Sub