There must be more to than that. I created a playlist using OCD, called arriale.m3u. It is in folder E:/Jazz Data/Playlists, as are two other playlists created by OCD.
When I "scan" this folder in OCD using Album -> Add media files
I get the message "No media files were found"
So what do you do that I didn't do? For the record the playlist works just fine as a playlist in both JetAudio and iTunes.