There are several different menu items that add a song (file) to Playing Now. When you right click on a song, and get the menu, you'll see "Add to Playing Now" as an item. That adds that song to the END of Playing Now. Which is probably what you want most of the time, since you said you want them played in the order you clicked them.
On that same right click menu, you'll see a More Play Options sub-menu. In there, you'll find a bunch more ways to add songs to Playing Now. Including the one you mentioned: Add (as next to play). Which does exactly what you said: It puts that song directly after the currently playing song. Most of the time, you'll probably just want to use "add to playing now" and NOT "add (as next to play)".
A couple more things are worth noting:
1. You can change the order of Playing Now any time you want. Just click on Playing Now (in the upper left corner) to show it. Then you can drag files into whatever order you want, on the fly. Playing Now is one of MC's best and most powerful tools.
2. You can select a group of files at once, like sequential album tracks, or even an entire album, and add them to Playing Now in the same way as you can with a single file. The right click menu works exactly the same on multiple files at once.
3. When you double click on a file, by default it starts playing that file and clears Playing Now. You can change this if you want. For example, one thing you can change it to is "add to playing now (end)". With that set, every time you double click a file, it would get added to the end of Playing Now. You can see all the selections in the Options Dialog: Tools > Options > General > Behavior > Double Click .
I hope this helps.
Brian.