With help of DJ KRAZE that gave me the example link and JayJay who wrote that example, here is the solution.
WMPLib.IWMPPlaylist playlist = wmp.playlistCollection.newPlaylist("myplaylist");
WMPLib.IWMPMedia media;
if (ofdSong.ShowDialog() == DialogResult.OK)
{
foreach (string file in ofdSong.FileNames)
{
media = wmp.newMedia(file);
playlist.appendItem(media);
}
}
wmp.currentPlaylist = playlist;
wmp.Ctlcontrols.play();