Have the user select a file. The song class can be instantiated using the file name:
Song usersSong= Song.FromUri(@"file:///" + openFileDialogue.FileName);
If you want them to have options for more than one song, you will have to manage the playlist yourself. Try getting them to identify a folder, getting all of the file names from that folder, and loading those file names into a list. You can then iterate through the list every time the xna mediaplayer raises the event that a song has finished playing.
With some elbow grease and creativity you can come up with some interesting ways of using a users music.