I am trying to do exactly the same thing (I also have an iRiver SlimX which can support up to 20 .m3u playlists per CD), but I don't understand this very well. The suggested solution doesn't work for me.
I have tried dragging the .m3u file to the burn list from Windows Explorer in three ways:
If I drag the .m3u to the item underneath the folder "CD, DVD & Handhelds" that identifies the CD burner, "(D:)", I get a response that says "Please select file(s) to play," and nothing happens -- nothing appears, either in the folder list or in the actual burn queue, to indicate the file is included.
If I drag to the item at the top of the folder list, with the red and white target, that says Device - CD Burner, I get the same response ("Please select file(s) to play").
And, if I try dragging and dropping the .m3u directly to the burn queue itself, I get an error message.
The playlists contain the correct folder names for the tracks. What am I doing wrong?
Thanks.