Yep, that's what you use PIN numbers for.
You can jump to a particular song or playlist via PINs. The menus are easy to navigate, however it's much safer to hit [DIRECT OK] [1] [DIRECT OK] to get to Moving Pictures than it is to hit [*] [DNPP] [7] [RIGHT] [RIGHT] [RIGHT] [RIGHT] [DNPP] [RIGHT] [DNPP] [DNPP]. Which is how I am doing it now. I'm sure there's a shorter method, but I haven't learned it yet. I'll probably look at the manual in another couple of months...

-Trevor
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Mk 2, Green 12GB 080000349