MJ has a "special" playlist called "Playing Now" - its at the top of the left tree and can also be accessed from the toolbar.
Essentially you add tracks to it and they play in sequence.
Select some tracks, right click, add to "Playing Now". Just build a big "Playing Now" list that MJ will sequentially play.
Select a Playlist, right click, add to "Playing Now".
Select an album, right click, add to "Playing Now".
Select a whole genre like "Jazz", right click, add to "Playing Now"
Sounds like you are in Ver7 cos there is no "All Files" in Ver8.
Ver8 is due for release very soon and is now quite stable. You should download it.
However, I seem to remember, (it was a long while ago) that the startup position in Ver7 could be set to whereever you liked. But, it was a "Plus" feature. Meaning you had to buy the product rather than just using the freebie bits.
I think you'll find it under "settings" somewhere with the text beside it "Plus Feature Only" Yeah? Yeah!
Ver8 is very much enhanced over Ver7 and as I say the Betas are quite solid nowadays.
Again though, there are certain conveniences, like startup positions, that are not free.
That you must buy the product to use.
All the hype pages assume that you purchased the product.
That is what you should do. Greater value for $25 is highly unusual.