In other words: a set library location and the jmd files inside that location are elementary for MC. Besides containing information about the the possibly imported files a library contains the view scheme setups, Playing Now list and various other things. You can create new libraries to user defined locations with the Library Manager tool.
MC does not work without a library, but you don't need to actually import files to it. You can play unimported files directly in Playing Now if you set it to not automatically import files on playback. Check also the Auto-Import settings if you want to avoid importing certain files.