To create a playlist that will show you the last files you played, do the following:

1) click Add -> Dynamic Playlist
2) choose "Dynamic File List"
3) type in a title and an optional description
4) choose "Play Count" "is more than" "0" as the first criteria
5) optionally limit the list to a certain file type (e.g. videos) by selecting "Type" "is" "Video" as a second criteria (with an "and" in between)
6) tick the "Order by" box and select "Date Played" and the sort order
7) click OK to save

That's all there is to it!

You can also limit it to a certain number of items by ticking the "Limit to" box.