There are 3 options for playing back media,
Option 1
Use Default Player - Opens created M3U in default player for M3U playlist
Option 2
Windows Media Player - Opens Created M3U with Windows media player. This should be irregardless of M3u associations
Option 3
Different Player - Select any player you wish. This should be irregardless of M3u associations. (I am using "C:\Program Files\VideoLAN\VLC\vlc.exe" without issue)
as has been said M3U files are used as a universal playlist format so all external Media Players can play multi file media.