I moved this post, as it's not an installation question. Please be sure to post in the appropriate topic board in the future.
Rockbox only plays MPEG 1 and MPEG 2 files, so you'll have to transcode your videos to watch them under Rockbox. See the
PluginMpegplayer page for information on how to transcode videos.
As for making a playlist of songs, you should read up on the manual, or read through the Audio Playback and Playlists board; this question may have been answered there already.