i don't think it can be done the way you want except by creating one large media file (but that would take ages to load depending on your server) I suppose your best bet is to use a flash media player you can configure.
second button from the right at the top of the page "search"...
anyway...
now I've gotten that out of my system, there isn't a way to embed a play list in an HTML page, the only way t do it, wuold be to form a huge compallation, (whuich will take forever to download). or maybe you could set up some php script trick, refreshing the page after the length of a track with a new track in the embedded link...