The point of the playlist is to not need to place the files in the folder.
If you have them in the folder, and no playlist is present, all mp3s from the folder will play.
Shift+R only selects the Orbitersound MFD from the MFD selection screen. Bring that up with Shift+F1. Once you have the MFD open you can use Shift+R and Shift+P to switch through the tracks.
And in general in orbiter, you control the left MFD with the left shift key and the right one with the right shift key.
Happy Orbiting