In either the Album and Track View, select the albums/tracks you want to play, then click the Play button on the toolbar (or simply press F2).
You can also play a single album from the 'Album Edit' window (or just the selected tracks in the track list), or a single track from the 'Track Edit' window.
In the explorer you can click the play icon next to either the album or track title.
By default, audio files are enqueued if you hold down the Ctrl key when you start playback (to enqueue an audio file means that it is placed at the end of the player's current playlist instead of being played immediately). If you don't hold down Ctrl the current playlist in the player will be cleared.
If you would to reverse this (that is, let enqueue be the default behavior), choose Audio File Options from the Tools menu and uncheck the Ctrl to enqueue audio file box.
For information on how you create playlists, see Setting up playlists.