I have a large group of songs in my music library. Oh yes, I paid a site for these downloads, but when I am playing songs out of a list, each time when media player is finished, and I click back to the file it returns to the beginning of the list.

How do I stop this and keep it in the area of the file to continue from the point of the last song?

You can't that i am aware of, although there may be a registry hack that will allow it to do this...You might try going to a media player forum site and checking around in there.

Windows Media Plugins - Forums