I assume you're talking about a feature similar to the Jump command in Winamp? Where you can load songs into a playlist and then jump (by typing "j" then an alpha search) to a specific song in that playlist, thus playing them in any order that you want?

No, I don't have an answer, but that was one of my favorite features in Winamp, I think they lost it in 3.0.

If anyone knows a solution to this, I'd be interested also.